Hi @bsim ,
This should be a limiation that when selecting source "Show items from all sites in this site collection" or "Show items from the following site and all subsites" in Content Query Web Part, the multi-value managed metadata column will be removed, only selecting "Show items from following list", the multi-value managed metadata column is available.
The reason of the limitation is because of the WSSID is different for each site and this WSSID is used in filtering as a Lookup Id in Content Query Web Part using CAML Query like this:
<Query><Where><In><FieldRef LookupId="TRUE" Name="ItemType" /><Values><Value Type="Integer">14</Value><Value Type="Integer">15</Value></Where></Query>
Please check the blog for details:
SharePoint: Querying on Multiple-Select Managed Metadata Columns in Content Query Web Parts
A solution is writing a custom web part with SharePoint Server Object Model, get WSSID for each site using the method and build CAML Query with these returned WSSID:
TaxonomyField.GetWssIdsOfKeywordTerm
If the response is helpful, please click "Accept Answer" and upvote it.