First, if all you want to do is create a ROS master on the localhost, all you need is the following
Secondly, rosdevice is used to create an SSH connection from MATLAB to a machine with a ROS installation -- which is typically only needed if your MATLAB instance is on a different machine than your ROS install and you want to control deployed ROS nodes from MATLAB. In your case it seems you're just on one machine.
However, if you want the error to go away, you'll need your Linux machine to have OpenSSH-Server installed. Though it's a little pointless to SSH into the same machine you're SSHing from ;)
sudo apt-get install openssh-server