This seems like a bug to me. I checked a similar field I have and it behaves the same way. The child does not let me do anything. It should at least let you do an includes on the field.
One way around this I found is to create another multi-select text field on the child table with the options that you want to see. If you have another multi-select field then you can do "is equal to the value in..." and choose your new field. I think you would need a field for each set of options, though.
Looking at what you are doing with city names that "fix" could become a ton of fields really quickly. If you only have a few options in there, this way could work. If there are a bunch then I wouldn't bother.
There is likely a better way around this issue but I don' know how else. That was just what I could come up with off the top of my head. You might want to speak to support or file an issue about this as I do think it should behave differently too.
I guess you could also have some kind of formula field that would have all the options that were in your multi-select field. Then you could do something to break apart the multiple options(multi-select to regular text it will look like "select1 ; select2 ; select3" etc) and see what was in there.
