Master's and PhD at different Japanese universities
Institutions prefer their recognized terminal degree to be the final education before its graduates continue in their careers. By doing so, the graduates provide the evidence of the efficacy and value to society of the institution's academic programs.

However, as you have said, in Europe, the MSc is not recognized as a terminal degree. An institution in Europe from which you might graduate with a MSc should expect, if you continue your studies, for you to be successful in the program to which you apply.

The correct way to ensure that you contribute to the local reputation of the institution to which you consider applying is to ask them if the degree is intended to be a terminal degree, or if it is considered strong preparation for the terminal degree that you wish to pursue. 

You should also inquire about this at your terminal degree school of interest, and you should strongly consider the advice that the institution you want to pursue your terminal degree at gives you in that matter.

For example, I inquired at Columbia about their PhD in Economics, and they suggested, as I expected, that I complete a Masters in Statistics first. 

Communication, in the spirit of your notable tactfulness, is the best way to ensure that you meet the expectations of the institutions that you are interested in.