Hi John,

I think we cannot implement multi select in dropdown because drop down can hold single value at a time.

Instead you can use Multiselect cntrol or list to list control.

Regards,

Chinmai Sravanthi.

Check this post for similar requirement, 

https://collaborate.pega.com/question/i-have-requirment-where-i-need-select-multiple-values-dropdown-list-control-used-ootb

There is no direct control available in pega to achieve this. Best option is go for a List to List or multi select control.