Hi, I'd been having the same trouble as @michmeagher and @OurLocalMarkets but think I've solved it now. I was basically trying to add the multi-reference field via the wrong collection (tying to add a category link from the blog collection, cos with a single reference field you can do this. Not with a multi-ref one - at least not that I can find).
For any still struggling with this, here's how it worked for me:
The scenario: Blog posts with multiple categories. Wanted to have category buttons to filter posts, just as you can with Wordpress etc.
Here's what I did:
Collections created for blog posts and for categories.
On the blog post template, add a dynamic template.
LInk it to the categories collection.
Add a link block to the dynamic item: link this to 'Current Category'
Add in a text block: tick 'get text from Categories' and select 'name'. Then style as you want.
Hope this helps.