I am not an academic type. But you'll find other directors who have gone on to a masters. This really depends on your situation. Some people find that staying in school gives them an opportunity to make a thesis film. Sometimes this film becomes their first feature.
Many people enter the business through p.a.'ing on a set.
What you may not know is that, if you want to eventually direct, the best work to get is as an intern in an editing room. Here you will see the film come together. The editing room is where the director and editor find all the wonderful footage that was shot, but also all the mistakes that were made. It's a great place to learn about directing. As for what UCLA is looking for nowadays in terms of new students, I can't help you with that.