Mentioning advisor qualifications in statement of purpose
It should be obvious from your CV who your MS thesis advisor is, and you might want to mention it again in your statement of purpose as you describe your MS thesis, but I wouldn't mention where your advisor got his PhD.

There are basically two possibilities here:


Your MS advisor is well known in the community.  In this case, there's no need to talk about where the advisor did his PhD since the reputation of the advisor will already be established in the reader's mind.  The reader is likely to be more interested in your advisor's recent research activity than where the advisor got his PhD.  
Your MS advisor is not well known in the community.  In this case, mentioning where the advisor isn't going to help much- having a PhD from a top institution means little if the advisor hasn't been active in the research community since getting that degree.