I've tried this myself and it does not work.
<%= Clinton Gallagher
Hi Brian,
For the ASP.NET 2.0 Master page feature, the VS 2005 IDE currently have
limited support in design-time editing. Such setting like global master
page in web.config's <pages> element or Nested Master pages are not
supported in design-time view. We can manually use it in page and it can
work at runtime.
Also, I suggest you submit this request to the MSDN product feedback center
since it should be a reasonable feature to be added in further release or
update.
Regards,
Steven Cheng
Microsoft Online Support

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