Thanks for the screenshots.
It’s not very clear if all fields are selected, or none. In any case, it seems to be wrong.
I did several tests in my installation, and was able to create users with a multiple selection field just fine. Tried the wp-login and pro-form registrations, as well as the profile editor.
I did notice that a captcha plugin seemed to give some trouble in a test, so I removed it.
I believe you may be having some plugin conflict in your installation, something may be affecting the normal behavior of the profile fields.
Could you please test deactivating other plugins/theme, and creating new users, to see if the behavior is the same?