First of all, make sure that your Treasure Data cluster is HDP2, not CDH4. Matrix Factorization is only supported in the up-to-date HDP2 cluster. HDP2 is allocated for users who signed Treasure Data after Feb 2015. CDH4 is allcoated for the others.
NOTE: please ask our customer support to use HDP2 if you get an error.
Download ml-20m.zip and unzip it.