Pensets aren't linked to Masters, but they can (and should be) be assigned to drawings. Also the current 'working' penset in the layouting environment is different than the penset in the modeling environment. See
this thread for more information.
The key for predictable plotting is be be in the correct penset when you publish. You should have a dedicated publishing penset and make it active while in the layouting environment. This is done via Options > Element Attributes > Pens & Colors (Layout Book)... and is different than the modeling environment and only really needs to be set once. To check, go back to, say, a floor plan and it will now appear as Options > Element Attributes > Pens & Colors (Model Views)...
Cheers,
Link.