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SageMaker multi-model endpoints do not have support for SageMaker Model monitor as of writing this answer. So the error is pointing to exactly that.
However, if you are looking to implement data drift using sagemaker model monitor then you can do that my mimicking data capture config functionality by capturing inference input and prediction output and storing it in the format supported by Model Monitor. And then setup a customer monitoring container using the instructions listed https://docs.aws.amazon.com/sagemaker/latest/dg/model-monitor-byoc-containers.html
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Thank you for the confirmation and workaround. We will give it a try. Appreciate it!