Most highly ranked PhD granting institutions do not offer a terminal masters degree. In this case, a masters degree is most typically given if you decide not to go the whole way or flunk the qual. If you got your masters from one of these types of institutions then yes, they probably would wonder why you didn't go the whole way (since no one is supposed to enter these programs with the intent of only getting a masters). Unless you had a compelling reason to want to transfer, they would be free to assume the worst. However, if you got your masters degree from a terminal masters program, it would look completely normal.
The difference is, PhD programs pay you, while you pay the masters programs. If you are admitted to a PhD program, you are funded, and the school's investment in you is expected to be returned by your productive PhD research and your successful career afterwards. Entering into that with the plan of leaving in two years with a masters is viewed as unethical by many. On the other hand, many people who's applications aren't quite as strong as they would like get their masters from a terminal program as a launching pad to a better PhD program, so this is a much more viable route if you think you want to get your masters first.