The obvious hypothesis is that your supervisor is a micro-managing control freak, which would not be unheard of. However, there may be all kinds of reasons your supervisor might be uneasy about letting you talk to the co-supervisor alone, independent of whether you've given him a concrete reason for it. We don't know enough details to decide that, and I'm not sure if it would be wise to share too many more details here.
This leaves you with all of the hypotheses already posted here, (and I came up with some additional ones,see below), and you still have to figure out what to do about it.
So, what to do about it?
I think the best way for you to decide this would be to either talk to your supervisor about his reasons directly or (if that thought makes you nervous) to someone else on the team. They might have some additional insights that can help you decide whether to challenge the order. If you do, my strong recommendation would be not to directly give your position but rather to ask your supervisor to elaborate on his reasons, make sure that you understand those reasons, and only then state why you think it puts a burden on you. You are much more likely to get a positive reaction if you can demonstrate to your supervisor that you understand his concerns, and can make a plausible claim that relaxing the requirement would help you without causing an issue.
I think that course of action should also minimize the risk to your MSc project because you probably don't want to quarrel with your supervisor while trying to do science. Even if you conclude that your supervisor is in fact a micro-managing control freak, you might still want to go through with your thesis project, so it's better not to burn bridges.
Some more hypotheses to test
All of the above seem like possible scenarios, and I have more:
Your supervisor may be worried that you misrepresent some of his own work to the co-supervisor, or that the co-supervisor might have some misconceptions which you might unwittingly reinforce. So he wants to be present to stay aware of (and occasionally correct) how his colleagues at another institution perceive the work being done not just by you but also others at your university. The same applies in the other direction.
And, more generally: He might want to cooperate with these people in the future, and that can be a difficult diplomatic rope to walk. He might be worried about you getting on the co-supervisor's nerves, naïvely or accidentally disclosing or misrepresenting something commercially or strategically sensitive, or otherwise affecting his relationship with the co-supervisor in some way, and he does not want to put the burden of responsibility for these things on you.
I know academics who have blocked each others' papers and cancelled collaborations over technical disagreements, and others reacting very strongly to the idea that their collaborators might try to use some information to gain an unfair advantage in an area where the two institutions are competing for grants.