Multi-line lambdas may be nice for functional languages, but Python is very imperative in nature and prefers clean syntax over conciseness, which means it will make it REALLY hard to fit with Python. I personally find multi-line lambdas an unreadable abomination.
As for some more concrete reasons on why this should not be a part of Python, see here for an example which shows why it would even be hard to come up with a plausible syntax for multi-line lambdas:
Guido's words:
"But the complexity of any proposed solution for this puzzle is immense, to me: it requires the parser (or more precisely, the lexer) to be able to switch back and forth between indent-sensitive and indent-insensitive modes, keeping a stack of previous modes and indentation level. Technically that can all be solved (there's already a stack of indentation levels that could be generalized). But none of that takes away my gut feeling that it is all an elaborate Rube Goldberg contraption."
If one would find a syntax which is Pythonic and clean then I am in favor of adding it, but I argue it simply does not exist.