Additionally, on the list form the multi select box is just two square boxes that populate with the data dynamically from the previous option box above (previous column) a scroll bar dynamically appears in the option box on the left with data listed vertically.
I can then "add" data from the left column box to the right column box to "choose my selections". Its is then that I would expect the next lookup columns option boxes in the next row on the form to populate dynamically with the multiple options I "added" from the previous columns.
When column 1 is set up in this fashion, it will dynamically populate column2's option box only when I uncheck to allow multiple values on column 2 which converts the box to a true single select drop down box (click arrow to drop down and show options but can only select 1) . Then anytime I select (add) multiple items from column1 will the single drop down dynamically grow and shrink based on how many items I selected (added) in column1. When this is set, I can then use the single selection from column to to populate items in column3's multi select boxes (again a populated box on the left which I can multi select option and click "add" multiple selections to the box on the right.
When I enable the allow multi selection on columm2 is when it breaks again. The lookup pulls in all list data from the datasource for that lookup column and it is not dynamically populated using the previous columns selection/s.
Hope that helps.