Should I do another master followed by a PhD or do a PhD directly
I am thinking about following another Master's degree in applied maths...The courses include measure-theory based probability and more challenging statistics, in which I am interested.


You don't need another degree to research the theoretical aspects of machine learning (instead of the application). During research, you can study any aspect of mathematics that are necessary and your supervisor et al. can help you.


  which track should i consider ?


The theoretical aspects of machine learning. Perhaps with a supervisor that is also interested in applied machine learning, so that you can switch, should you want to.