The Multi Effect is a container for other effects. Use it if you need more effect slots than available.
Multi Effect window
When loading a Multi Effect the effect which is currently in the slot is moved to the Multi Effect. If you keep down the Ctrl key (Windows) / Command key (Mac) while clicking the effect selector's Multi Effect item all related effect slots will be moved to the Multi Effect (eg. all the track's effects, all a Stereo Effect's Left Channel effects etc.).
The Multi Effect can also be used for making effect presets consisting of more than one effect (for instance a 'vocal channel' consisting of EQ, Compressor and Deesser).