Here's how it works on the PS2:
If you're in your first season of master league, classic/pes shop players are unavailable to buy until the end of the season. Then they are available in the box called "unbelonging" if you choose the search by team option. Once they have been there a season - they then apear in the "other" box instead. Best to buy them when they are 'unbelonging' though as you don't have to play a transfer fee.
If you unlock a player in pes shop, then they appear at the end of that season in which you unlocked them, again in the unbelonging box