Masterwork still uses the last version of Dwarf Fortress where the only site type that existed was the towns humans use. Meaning that forest retreats, dark fortresses, and mountain halls don't appear, and I haven't checked, but it seems possible that all of the Masterwork civs except humans use those site types. Adventuring around in human towns works alright though.
EDIT:I checked which site types each civ uses and banshees, humans, and kobolds have city as their default site type. However, elves, naga, centauren, and werewolves have city and forest retreat as their default site type. Forest retreat is defined second in those cases and considering that in my checking legendsviewer maps for masterwork a lot and I don't remember seeing any of those in cities the forest retreat probably overrides that. Drow also have city as a default site type along with dark fortress which they probably use instead.