TDE using EKM device
Does this create a copy of the key in master DB also?


AFAIK, no.


  In case of TDE, how often does SQL Server has to contact the EKM device? Does it have to contact the ekm device veytime while reading data file from disk?


This depends on the HSM, the driver they provide which you need to have installed and loaded into the SQL Server process space but generally it will be cached for an undetermined period of time.