When an attacker has access to the private key of the wallet, he can dump the private keys of every address used for the multisign address(es).
In the case of multisig addresses, there are multiple participating wallets, and multiple need to sign.
So, what's the point of multi sign addresses when there's a single point of compromising the security of the Bitcoins?
Compromising a single wallet is exactly what multisig protects against.
Why don't we have a multi signature wallet? A wallet that requires multiple private keys to be opened.
There are several. Some are commercial services, where one of the participants is the service operator (who then e.g. requires 2FA for signing). Others are advanced software that needs configuration to use.