I was wondering about this. I've been playing the game for a whole 3 days or so, which means I've got a level 40 and a bunch of level 30s. Nothing special, nothing too exciting. Just figuring the game out really. Just today I realized what multi-battle was for. Wanted use multi-battle to auto-grind for speed gear and every single time I tried, my leader goes charging in by himself, leaving the rest of the party behind. Thought it was very odd.
I am seeing an additional problem. After doing this and immediately canceling the multi-battle, every level I try in campaign mode auto-runs without letting me control the characters. Closing and re-opening the game seems to fix it, but it's pretty annoying.