I'm not sure but I think you may have stumbled onto a bug.
There is a Microsoft Forms 2.0 Control under More Controls, but I'm pretty sure it's only intended only for use on UserForms.
I tried adding it to a worksheet and got an error. However, once I added one to a UserForm and went back to the worksheet, I was able to add it... but things got "glitchy" for moment, and when I opened the Properties dialog for the bod, the font was poorly rendered.
All the documentation that I looked at (like this, this and this) only have examples of it being used on a UserForm, or in Outlook.
There are many types of ActiveX controls, and not all of them can be used anywhere. As a rule of thumb in Excel, it's best to stick to the controls that are built-in.
Also, from another forum:
Q: It seems that I could not find and add Multipage control into worksheet.
How to add a Multipage control to Excel worksheet?
A: Unless you put it on a UserForm first, you can't display it on a Worksheet. The UserForm provides the user interface to VBA. The MultiPagecontrol is designed to work with this user interface, and not the Excel Worksheet. Is there a problem using the UserForm to display the MutliPage control? Source: Leith Ross

This evidence combined tells me, even if you can get it to work, you shouldn't. There's no predicting how it will behave.
In case you decide to use a MultiPage on a UserForm, note that in your example above, MultiPage1 is the name of the control; that's not referring to "page 1". The control as a whole has a Click event which is not specific to a page:
Private Sub MultiPage1_Click(ByVal Index As Long)
For the sake of completeness, I'll paste in a complete code sample but once again: this is not recommended for a worksheet-based control.
How to: Access a Page in a MultiPage Control
The following example accesses an individual page of a MultiPage in several ways:
Using the Pages collection with a numeric index.
Using the name of the individual page in the MultiPage.
Using the SelectedItem property.
To use this example, copy this sample code to the Script Editor of a form. Make sure that the form contains a MultiPage named MultiPage1 and a CommandButton named CommandButton1.
Sub CommandButton1_Click()
Dim PageName
Set MultiPage1 = Item.GetInspector.ModifiedFormPages("P.2").MultiPage1
For i = 0 To MultiPage1.Count - 1
'Use index (numeric or string)
MsgBox "MultiPage1.Pages(i).Caption = " & MultiPage1.Pages(i).Caption
MsgBox "MultiPage1.Pages.Item(i).Caption = " & _
MultiPage1.Pages.Item(i).Caption
'Use Page object without referring to Pages collection
If i = 0 Then
MsgBox "MultiPage1.Page1.Caption = " & MultiPage1.Page1.Caption
ElseIf i = 1 Then
MsgBox "MultiPage1.Page2.Caption = " & MultiPage1.Page2.Caption
End If
'Use SelectedItem Property
MultiPage1.Value = i
MsgBox "MultiPage1.SelectedItem.Caption = " & _
MultiPage1.SelectedItem.Caption
Next
End Sub
(Source)
Now I'm going to delete that buggy worksheet and reboot; I'd suggest you do the same!