Yes, multi quote does work that way (happened to stumble upon that yesterday), but like you mention it's not easily discoverable. And before that, I was also copy/pasting them into notepad
Typically, you click on the "quote" button for a number of replies, and then press a "reply" button.
This implementation gets you the same basic results. though it seems to default to sticking the quotes for newer messages at the top of your reply window, instead of at the bottom which would be the more logical way to do it.