Для вставки в качестве значений необходимо использовать Range.PasteSpecial метод : .PasteSpecial xlPasteValues
Обратите внимание, что если вы используете массив для пропуска рабочих листов, вы можете уменьшить свой код следующим образом:
Option Explicit
Public Sub exa()
Dim SkipWorksheets As Variant
SkipWorksheets = Array("Master Data", "Query --->", "Pivot Portfolio Movement", "PortfolioMovement - All", _
"Bank Holidays", "Property", "Postcodes", "Product", "PartRedemption", "Wrap", _
"Completions Database", "Default", "ReturningBorrower", "Extensions", _
"PortfolioMovement", "Drawdowns", "Dev Interest WIP", "Write Off Loans", _
"Interest Rate", "Admin", "Datatape --->", "Data", "Drawn Balance by Loan", "Sheet1")
Dim Wks As Worksheet
For Each Wks In ThisWorkbook.Worksheets
If Not (UBound(Filter(SkipWorksheets, Wks.Name)) > -1) Then
Wks.Range("H2:N2" & Wks.Cells(Rows.Count, "N").End(xlUp).Row).Copy
Worksheets("Master Data").Cells(Rows.Count, "A").End(xlUp).Offset(1).PasteSpecial xlPasteValues
End If
Next Wks
End Sub