Hi Jim,
As far as I'm aware the "single component" restriction has been lifted and everything supports multi-component keys. that said I'm sure if you find an exception to this you'll let me know.
Lookups are probably the last area to get this support (browses and forms have had it for a while I think) - and given the various creative ways people do lookups I suspect this will be the area that needs the most polish over the coming builds.
So officially multi-component keys are supported - where they are broken would be classified as a bug.
cheers
Bruce