1) Does Tron even have support for multisig addresses? I do not know of any wallets that have this feature.
Yeah, it's possible to create multisig addresses
2) How on earth did you get a hold of a multisig wallet, and then sign a transaction from all 2/3 co-signers to send to the scammer? The more times you have to sign, the more it should make you question who is going to receive those funds, in exchange for what.
Scammer creates a multisig address that he has control of and then deposits an attractive amount of USDT TRC20. He then messages random people claiming he can't withdraw the USDT and offers to share the spoilts if they help him withdraw.
They will then share the private key with the victims. Victim imports the address, checks the balance and gets so excited but can't send out the USDT minus some TRON tokens. As soon as the victim deposits the TRON tokens, they get spent immediately by the scammer.
So the scammers keeps collecting TRON from different victims