This has happened to me since I was a little girl. Not sure if it's normal. Any time I would put my arm up over my head while sleeping, I would eventually wake up with a dead arm and have to lug it back down with my other arm and let blood flow back in. Edit: Seems to be blood flow in my case because the arm feels slightly less warm when this happens...
Does your masseuse have any prior experience or work related knowledge in this to substantiate their concerns? I have never suffered any loss of sensation or strength from this, and doubt the body would remain asleep long enough to allow damage to occur. When I wake up with a dead arm, it is clearly the reason I awoke, I correct the arm and fall back asleep.
May have to do with the position of arteries that go through the armpit and bone structure or tendons/ligaments cutting off blood flow? That is my only guess to the cause. I just try not to sleep with my arms over my head. Edit: Or sleep with shackles.
If you are truly concerned you could always consult your doctor.
Edit: Apparently there can be multiple causes which are outlined in this page: http://m.md-health.com/Arms-Falling-Asleep-At-Night.html