From the amount of complex analysis I've seen, I think I agree with you.
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.