A set-valued function is a perfectly valid kind of function, and a multivalued function in complex analysis is just a set-valued function with certain continuity and other restrictions.
They don’t think of Log(z) as a set of values. At least I don’t. I assume one means the principal branch when writing Log(z) unless specifically stated otherwise. Maybe in their mind they do think of an infinite set when seeing Log(z). I’m skeptical of this possibility though.
The insight behind multi-valued functions seems to be that for certain types of functions that seem unambiguous in the real case (roots, logarithms, ...) there's no clear candidate for which one is "the" logarithm function etc. So theorems look more like "let l be a logarithm function".
If you actually want to do complex analysis, it would not be very useful to have a vector valued function (even if that's technically possible) for logarithm etc. because most of the theory is developed for (in particular, differentiable) functions C -> C. So you'd rather just pick a branch.