I did not earn my Master's degree. Do I mention it in my Ph.D. program and onwards and on my CV?
You don't need to emphasize or even mention such things unless asked to account for the time you spent. In general, it is a poor choice to mention things you think are failures. In any application you want to emphasize your suitability for the position and the high likelihood that you will be a success at it. Stress the positive. 

But be prepared to give an honest and sensible answer if asked what you were doing for a period of time longer than a few months. It is probably fine to say that you pursued a dead end and changed course, which sounds accurate. It is also fine to say that you escaped a dysfunctional environment after being caught up in it for a while. But that isn't something for your CV or your SOP. 

You will probably be asked to supply transcripts of all academic programs in some applications. You need to do that, of course. But you don't need to characterize the situation as a failure unless the institution considered it so.