Instead of merging into a multi-select field, try merging into a linked records field. In the past when I’ve had this issue, the comma separation works fine.
Also, bear in mind that for single select and multi select fields to to be merged, you must have those values already defined in the multi select field. You can get around this by using a linked record type instead for the field you are trying to merge into, and then copy it over to a multi select if you must.