The masterfiles are distributed separately beginning with CFEngine 3.6. The 3.6.2 tarball is located at: http://cfengine.package-repos.s3.amazonaws.com/tarballs/masterfiles-3.6.2.tar.gz These should (optionally?) be included when emerging CFEngine.
Created attachment 474152 [details, diff] possible fix
commit ff602efd2aaf20763713fa4aecc69481f6f21f8e Author: Chris Rorvick <chris@rorvick.com> Date: Wed May 24 09:09:43 2017 -0500 net-misc/cfengine: add masterfiles. The masterfiles were moved into a separate tarball in CFEngine 3.6. Add a new local `masterfiles' USE flag for optionally installing them. Closes: https://github.com/gentoo/gentoo/pull/4752