I find that I am unable to create a Bibliography in a Master Document (nothing
but the heading "Bibliography" shows up).

I also note the following minimal needs:
1) Full bibliography support for items not referenced in the document (such as
for annotated bibliographies)
2) Separate in-text reference formats
3) Separate first-reference footnote formats
4) Separate following-reference footnote formats
5) Support for Master Document references
6) Ability to match requirements for various style sheets for all the above

As yet, I have only been able to produce a bibliography (a) within a single
document [no MD capability], (b) for those items referenced specifically within
the text [again, no MD capability but no annotation ability, either], (c) no
ability to define formats for in-text or footnote references (two versions of
each needed -- first use and following uses).

While these may sound like different "issues" they relate to the same ultimate
issue: the ability to follow well-known published style sheets (Chicago,
Turabian, MLA and so on).