Parsing parameter field with multiple selections

When I create a report and write the TSQL directly to it, with a parameter (multiple selections) feeding into the dataset, it works fine.

If I move the TSQL to a Stored Procedure and then link the report to the SP, then I would have to create a parse function to parse out the parameter value (multiple selections).

Although I have gotten my reports to work, I have always wonder is there a reason for this? Is there a setting so that I don't have to create a parse function for the parameter (with multiple selection)?