All of the connections in a multi-connection iSCSI session must go to interfaces on the storage system that are in the same target portal group.
If an initiator is unable to establish a multi-connection session, check the portal group assignments of the initiator.
If an initiator can establish a multi-connection session, but not during a cluster failover (CFO), the target portal group assignment on the partner storage system is probably different from the target portal group assignment on the primary storage system.