Hello,
In order to clarify also on previous response: With "Marketing forms" you refer to the submission form concept that can be embedded into "Marketing Pages" or external web sites which Dynamic 365 offers to marketing customer as the means for publishing landing pages to a web audience.
Multi select option set fields are indeed not yet supported on those marketing forms. As a workaround today you would need to break the option into separate fields on the contact entity.
We look at adding muti select option set type for a future release also for marketing forms.