The dealer I bought the Petromax from, says that it can use Multi-fuels. Is this true?

No, and, if used with fuels other than the type specified by Manufacturer, you could be at risk of injury, property loss and loss of warranty coverage.

What can I do about this?

Contact your State, Local, or Federal Consumer Protection Agency Always have your receipt, any documentation stating such claims, etc. False advertising is against the law, and, as a consumer, it is your right to report such incidents.