The problem is simple: EGit doesn't know, from which remote branch you want to pull.
If you create your local branch based on a remote tracking branch, then that key is generated automatically.
Otherwise you can create it yourself:
master stands for the branchname, in the key it's your local branch, in the value it's the branch in the remote repository. Place that in the repository-specific configuration file (%repositorypath%\.git\config)
It's probably possible to improve usability by adding some explanations like "add the branch.master.merge entry in the repository config file" or something like that. With an example, it's even better. (just a suggestion, of course)