A multi-line field is still treated the same as a single line as far as data lookups are concerned, i.e., they are both still single-value fields receiving multiple values from the lookup. Seems counterintuitive at first, but this behavior does make sense because even with multiple lines there is still only one string/value.

Two ways around this would be to store all the values in a hidden table/collection and try using a formula to put them all into the multi-line (I believe this would separate them by commas), or by creating a stored procedure that concatenates the values with line breaks into a single result string that will go into the field.