I would not consider the problem calling a stored procedure where the parameter was set to Multi-value option an SSRS bug.
Yes true, it is not a bug - however, many would say the design is still flawed - by the simple fact that SSRS lets developers/DBAs choose to call a stored procedure as opposed to raw sql, and then not provide proper functionality by the application to cater for multi-valued parameters.
Don't get me wrong, I think SSRS 2005 is a fantastic product and use it everyday - however, I hope this particular issue is improved in later versions of SSRS - is it in 2008 ?. Having to maintain SSRS reports with the many types of hackery required to make this fundamental requirement work is a bit of a pain.Also...
I've also experienced headaches when just checking to see if a specific value in a multi-value parameter list is actually selected, and then apply conditions to particular report objects based on that multivalue item being selected - You can use a VB function in the report to achieve this. As per the link below:
that method enables you to explictly use the parameter value as opposed to the index of the array. However, I would hope that, again, this is improved in later versions of SSRS.
Good article, glad to see this is being addressed by many others too.