That depends on what you mean by a "Thesis statement."

A good introduction should introduce your reader to the major points of your argument, and effectively convey the scope of your paper without delving into the major facts. The intro should clearly communicate your argument, and should never leave your reader saying "whats this thing about?"

On the other hand, if you are asking should you have a "This paper will argue..." sentence or paragraph, its generally best to avoid it. Now, youll read many academic historians who write like that in their intro, "This book will argue that..." Generally thats considered sophomoric, especially in at the graduate level. But the most important part of the introduction is to do what I talked about in the first paragraph. If you feel you need to state your argument that plainly, then go for it. What really matters is that what you write is effective, and it fits together nicely. Some writers are good at that kind of analytical matter-of-fact style and can pull it off.

But then every professor is different, and whoever helps advise your thesis will make it very clear how they feel about that kind of thing in your first draft. The best advice I can give you on how to structure a Master's Thesis, and especially the intro and conclusion, is to really read a lot of journal articles. Youre writing one of those, and you should do yours like that (and also the way that your advisor suggests).