Some system files (for example EditProfile.aspx in My sites) have a hard coded url to the application.master page:
MasterPageFile="~/_layouts/application.master"
If you'd like to use your own master page, you'd have to change this to the following:
DynamicMasterPageFile="~masterurl/default.master"
And FYI changing these system files is technically unsupported, but I've often found it's sometimes a necessity.
