I haven't tested them all. Sparrow works for me, electrum works fine. I'm currently just self multi-sig, but I'm working on getting various family members to try to learn it so I can multi-sig with them (largely just to have them involved with it, probably won't be my main stack)

Multi-sigs purpose for just self only custody per the glacier protocol security model, is just geographic dispersion. So if your house burns down you have these other locations you can sign to get your funds without necessarily trusting those locations with the security of your funds as an independent matter.

Huge thing with multi-sig is all xpubs are needed, not just private keys, but because xpubs just show the balance of your funds and aren't access to spend them, they can be on higher availability mediums depending on how you want to handle the privacy aspect of that.