It's been said already, but just to reiterate. Your camera/lens can only physically focus at one specific point (distance) from the camera. So using the 'multi-point' AF option does not give you any 'more' focus.
So because the camera can only focus at one distance, when you do see that more than one of the AF points are lit up, it means that those points are the same distance away...in other words, they are all on the same plane of focus.
Also of note, is that when you are using the multi-point option, you have less control over what the camera is focusing on. It may choose something up in the top right area, when you'd actually prefer something in the lower right. It may also choose a different subject every time you activate it (on the same scene).
I think you probably get this, and that's why you use one point with the focus-and-recompose technique. And as long as you aren't using a razor thin DOF, this shouldn't be a problem.