Hi Ashish,
Currently, the built-in integration does not include the MultiSelect control and it needs to be manually implemented as explained in Batch Editing Working With Templates and demonstrated here: Show short date, edit full date with batch editing.
For your convenience, I am attaching a sample project implementing the Batch Editing and MultiSelect integration.
Note: the sample demonstrates the integration of MultiSelect with Grid Batch Edit. The actual saving of the changes does not happen as the Create/Read/Update/Delete (CRUD) operations are not configured.
Regards,
Attila Antal
Progress Telerik