Pierre, the "Must be in Master Catalog" property is for reference only. The property does not prohibit you from choosing to catalog a data set in a user catalog.
On the Catalogs page in the Deployment Configuration wizard, select the desired data set name prefix from the list and click Actions -> Select Catalog. On the Select Catalog page, if the user catalog you want is already in the list, then select it and click OK. Otherwise click either Actions -> Add Existing Catalog to identify an existing user catalog, or Actions -> New Catalog to define a new user catalog.
Kurt Quackenbush