SSRS Multi-select Parameter Problem

I have written and published a report using SSRS (no stored procedures) that includes a multi-select parameter. I set-up the parameters as MS in the Report Set-up tool and it behaves that way at first. However, after clicking OK to run the report, none of the options selected for the parameter are passed through to the SSRS report.

Any idea where I've gone wrong? I've checked all the documentation and the forum posts I saw were old and all related to stored procedures, which this doesn't utilize.