Are you passing that parameter to a SQL query in the dataset or to a stored procedure?

If you are passing it into a query in the dataset you should not be joining the values together, just pass it as is, SSRS will interpolate the parameter into a valid SQL statement.

When you join the multivalued parameter SSRS will interpolate it in the query as the single value i.e. in ('a,b,c')

When you pass a multivalued parameter as is SSRS will correctly interpolate it as a list i.e. in ('a','b','c')

If you are passing to a stored procedure you still don't need the join expression, as it is passed as a single string. You can google "ssrs passing multi-valued parameters to stored procedure" for more details on how to handle that.