Hi - this is because I suspect (from its "param_" name) that your filter field is a "parameter" type (i.e. one you have created using the @WHERE:PARAM:USER_DEF:.... syntax) rather than a "returned field" in the NSQL that you have put into the filter section.
There are some complicated reasons why this doesn't work though (preview the NSQL and see how the different type of fields (returned field and parameter fields) is converted to SQL to get an idea). There were some old discussions about all this that I recall having on here, I'll see if I can find them and add a link...
--
EDIT : Ok heres a few links, the first one is the most detailed I think...
Multi-select on an NSQL Parameter?
Multi-Select Parameters in NSQL
Multi Select Filters on Portlet
Multiselect Parameter Filter