Does implementing multisig at the protocol level raise any privacy concerns? In other words, because several people are now involved in a trx, does that raise the probabilities of de-anonymizing the trx? If you know lets say that 4 people were involved in a transaction, does that make it 4x easier to trace the transaction? Or if you know that someone uses multisig at a particular exchange, can you use that fact to narrow down the pool of possible trxs?
No, it doesn't. Monero multisig addresses look and work exactly the same as any other Monero address, and so do transactions. All the "magic" is done off-chain between the wallets involved. The reason that multisig has not been implemented pre-RCT is because the work would have been wasted since non-RCT transactions are becoming obsolete.
Bytecoin, Monero's predecessor implemented multisig (or at least had a documented method for implementing multisig), but it was completely absent any privacy measures so all amounts and so on could be easily deduced as it could not be used without mixin = 0. Ring signatures (together with CT) on the other hand enables the same degree of privacy regardless of whether it is multisig or not. Multisig transactions should be indistinguishable from a normal transaction on the blockchain.