A core motivation for the study of Weihrauch reducibility is to investigate the computational content of theorems of the form: $$\forall x \in \mathbf{X} (\neg \neg D(x) \Rightarrow \exists y \in \mathbf{Y} \ P(x,y))$$
These naturally give rise to a multivalued partial function $P : \subseteq \mathbf{X} \rightrightarrows \mathbf{Y}$ which is defined on $\{x \in \mathbf{X} \mid D(x)\}$ and maps $x \in \mathbf{X}$ with $D(x)$ to some $y \in \mathbf{Y}$
such that $P(x,y)$. Only in the rare case where there are naturally unique witnesses would we get a function here.
Some typical examples are the intermediate value theorem yielding a map $\mathrm{IVT} : \subseteq \mathcal{C}([0,1],\mathbb{R}) \rightrightarrows [0,1]$ which is defined on the continuous functions $f$ with $f(0)f(1) < 0$, and returns some zero; or Brouwer's Fixed Point theorem with $\mathrm{BFT}_n : \mathcal{C}([0,1]^n,[0,1]^n) \rightrightarrows [0,1]^n$ mapping a continuous function to some fixed point, or Weak Koenigs Lemma which maps binary trees which happen to be infinite to some infinite path through them.
Not only are all these problems of interest naturally multivalued, but we even know that their Weihrauch degrees do not contain any singlevalued representatives (even more, eg if $f : \subseteq \mathbb{N}^\mathbb{N} \to \mathbb{N}^\mathbb{N}$ is a function with $f \leq_{\mathrm{W}} \mathrm{BFT}_n$, then $f$ is already computable).
Terminology has changed a lot since Weihrauch's preprints. The reducibility he studies formally compares sets of singlevalued functions, but the results translate rather directly into the modern framework. The translations between representations of the reals he studied can be phrased as multivalued functions on Cantor space which map a name from one representation to some name in the other representation denoting the same number. Of course, we can alternatively view them as identity maps between represented spaces, in which case they'd be singlevalued.
Above is what I would consider the by far most important reason why we study multivalued functions. However, I'd also argue that this gives us a nicer structure. The Weihrauch degrees form a lattice, and the meet-operation does not preserve being singlevalued. For $f_i : \mathbf{X}_i \rightrightarrows \mathbf{Y}_i$, we have that their meet $f_1 \sqcap f_2 : (\mathbf{X}_1 \times \mathbf{X}_2) \rightrightarrows (\mathbf{Y}_1 + \mathbf{Y}_2)$ has as valid solutions on the instance $(x_0,x_1)$ all $(i,y_i)$ with $y_i \in f_i(x_i)$. So even if $f_1,f_2$ are both singlevalued, $f_1 \sqcap f_2$ would have two valid solutions to each instance.