The main reason why the Master regenerates into Missy was confirmed ages ago. A writer had said that a Time Lord can only change their gender if they comit suicide, thus leading to Episode 12, The Doctor Falls, where Missy and the Master, who are infact the same person, kill each other. If they are the same person, this means killing each other wouldn't be muder, but suicide. That is why the Master regenerates into Missy! Also, if you're wondering when this said statement of suicide=different gender came from, it was when they wanted the doctor to be a women in 2009/10.
Also, Missy can't remember the events of what took place on that ship much like the Three Doctors in the 50th Anniversary couldn't remember being there, why, because of a paradox that allows someone's timeline to coincide with their past. If they were to remember events, it would loop.
I have made a mistake. I haven't watched the new episodes, I am lost in the serious somewhere after the first part of the second half of S4, and I don't want people to spoil it for me, but I just need to ask, is it good? Is it not good? I can't live in suspense.