Objects on master pages in InDesign are locked as a rule. The idea is that you would place things on the master page that you wouldn't want to change on the document page. When you clicked on the object while holding Shift and Command, what you did is called Overriding the the master object to the document page. This can be done to all objects on the document page by going to the fly-out triangle on the Pages pallet and selecting Override All Master Page Items. Once overridden, objects may be reverted to master items, either all-together (Remove All Local Overrides) or individually (Remove Selected Local Overrides—note that this will only work on master items that you have selected at the time).
Once you have overridden a master object on a document page, you will lose some control that the object would have retained, had it remained a master object. For example, if you override then move an object on a document page, moving the object on the master page will no longer move the object on the document page. You will, however, be able to change (for example) the color of the object on the master page and have it change on the document page, but that's only because you haven't changed the color of the document page item as of yet. Basically, each thing you do to an overridden master item on a document page will prevent that aspect from being updatable via the object on the master page. If you plan to change the items on the document pages a lot, you may not get any benefit from placing them on the master page.
J Phil wrote:
When I view the layers in Master It has 3 layers but when I view the layers in the actual pages it does not have any.
Are you talking about actual layers or the stacking of objects within one layer? When you override master objects on a document page, the objects will remain on the layer they were assigned on the master page. But, if objects are stacked on a single layer on the master page, they may not retain the same stacking once overridden. For example, if you override something from the back of a stack first, it may come to the front of the stack.