The multi-select options is a new control in the Dynamics 365 CE and have new features, however, the control is an option set, only a list of items that you can select more than one option.
the following is the documentation, I have not tested, but I think this could be applicable to the CDS and Modal Driven apps.
hope this helps
Out of the box the Multi select field type in the CDS and Dynamics 365 CE are only working with Option Sets, and your escenario will be creating a entity with the values related or not related to the source entity, that will just list the options and make the relationships.
hope this help.
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