I have *one* WP install on a multi-site. It's also a pretty limited site (more like a place-holder). For the *one* domain there, Wordfence is working. I've done *nothing* special to my multisite install or Wordfence.
I'm surprised that Wordfence would even work on a Multi-Site. When I access some other site with a slightly different ULR (www.example.com vs. example.com), Wordfence complains about the DNS. No telling what else it's struggling with in that situation.
They say it can handle Multi-Site. Maybe someone else here actually has it running on Multi-Site with multiple domains.