For a multi-select parameter, you have to deal with the values as an array and use the JOIN function to extract the values into a delimited string, like this:

=Join(Parameters!parameter_name.Label, ",")

When you double-click to add a multi-select parameter to any expression, the expression editor will automatically add a (0) at the end. This is an explicit reference to the very first value in the array. Just delete the (0) to reference the entire array of values.

The code above creates a comma-delimited list. If you want a vertical list of selected values, use the vbCRLF constant as the delimiter instead.