Another way to look at this is that a Masters is a glorified bachelors degree. You take a couple more courses, you do a little work and write a couple of papers. Once you get into industry, this basically becomes the equivalent of you need less training and supervision than a bachelors student would.
For a PhD, however, you have to prove that you can go find your research on your own and solve the problems. You then have to back up everything you did. A rather royal pain in the ass which is also involved with the joy of your committee members torturing you with things like qualfiers, comprehensives, reports, changes, suggestions, defenses, and corrections becuase they had to do it when they got theirs! It has to be the biggest legal damn hazing in the world! (ok, end bitterness as I'm trying to finish up)
The big difference comes once you join industry. With a PhD you are expeted to take a lead and to be able to learn, figure out, and teach yourself anything you need to know on you own. No one holding your hand or leading the way. In fact, you are expected to lead the way for others.