It's probably underpowered, but we can't tell yet
There's some fringe cases where this feature could be quite useful. For example, if you multiclassed into a single level of Tempest Cleric, the ability to deal max-possible damage for any spell once per short rest via their Chanel Divinity (up to Charisma mod times per day) could be quite appealing. But all things considered, this feature is likely underpowered compared to Hexblade's Curse. First, I'll explain why Hexblade's Curse is likely more beneficial for a Warlock, and then I'll briefly explain why the overall balance of this feature is hard to judge as written.
Be the best at what you do
An important feature the Hexblade's Curse is that it helps them be better at what they're built to do well. A Warlock has the best attacking cantrip in the game, which invocations can make even better, that attacks multiple times at higher levels. Hexblades also gain the ability to use Charisma to make melee attacks. All of this comes together to mean that the class is likely to be attacking often (at close range or from a distance).
In addition to a small healing boost, Hexblade's Curse adds a constant amount of damage (that increases as you level up) to every instance of damage against a single target, be it from attacks or spells, and doubles your chance of critical hits on attack rolls. That's useful for a class that may be attacking often, and casting damaging leveled spells from time to time. Your proposed feature would be useful at getting around certain resistances or immunities (and the multiclass synergy mentioned above), but not for much else. Add this to the fact that Eldritch Blast does one of the least resisted forms of damage (Force), and you've got a feature that is helping this class get around a problem it didn't really have.
However, even if this feature is extremely useful in your particular campaign (maybe you have enemies who are all vulnerable to thunder damage, or resistant to necrotic), the balance of this feature would still be hard to gauge. That's because Hexblade's Curse is not designed to be a single feature: it's a part of the class that evolves over time.
What will this do at later levels?
Many of the Hexblade's features are built around making its Hexblade's Curse stronger at higher levels. Not only does the damage bonus increase with your proficiency, but the 10th and 14th level class features are specifically designed to add features to Hexblade's Curse. So what happens now as the character levels up? You'll need to propose new 10th and 14th features to let us know that. Without those 10th and 14th level features, we cant' judge the overall balance of Master of Elements.
Your feature needs some more careful wording
Finally, Master of Elements is somewhat hard to judge because its exact limits and nature is unclear. As written, it allows you to:
change the damage of any spell you cast to cold, thunder, or lightning damage
There's no limits on this change as written (to only one damage roll, one round, or one casting), which raises several questions. Are you changing the nature of the spell, so will this spell still do this new damage type the next time you cast it? If not, what if it's a concentration spell like Hex or Hunger of Hadar: will the change last for the spell's entire duration? And what if the spell originally did more than one kind of damage: can you change one part of the spell's damage to cold and the other to thunder, or do you have to change the entire spell's damage to one type?
Depending on the answer to any or all of these questions, the balance of this class feature might change. The ability to overcome a resistance or immunity (especially to Necrotic damage, which is one of the Warlocks more common types of damage done by its spells) could be quite useful. But without some clarifying of the nature of this feature, and some more clearly defined ways this feature grows with the character, its balance is impossible to fully assess.
