MySQL 5.5 to 5.7 doesn't work, apparently this is a feature?
The problem is that MySQL 5.5 does not support GTIDs, but MySQL 5.7 does and have it activated by default.

As the MySQL manual suggests, you can disable GTIDs on the 5.7 slaves to perform your tests, and later, when all your servers will be upgraded to 5.7, activate GTIDs on both master and slaves.

see http://dev.mysql.com/doc/refman/5.7/en/replication-upgrade.html for more information.


  If you are upgrading an existing replication setup from a version of
  MySQL that does not support global transaction identifiers to a
  version that does, you should not enable GTIDs on either the master or
  the slave before making sure that the setup meets all the requirements
  for GTID-based replication. For example server_uuid, which was added
  in MySQL 5.6, must exist for GTIDs to function correctly. See Section
  18.1.3.2, “Setting Up Replication Using GTIDs”, which contains information about converting existing replication setups to use
  GTID-based replication.