You must set Primary Text Frame on a master page. You can't already have content in the text frame.
Try dragging out the frame you want on the Master Page. With the Frame Edges turned on, pause over that frame and you will see the tool tip shown below. Click on it and it will become a Primary Text Frame.
By the way, you can only have one Primary Text Frame on a page.
And apparently the frame must be completely empty -- so if you're pasting a frame from an existing document page you'll have to delete any contents before trying to convert it.