On my 920xt I can start a Run activity and then switch it to a Bike. When saved that will be recognised as multisport. I can't figure out how do that on my fenix 5? Any ideas?
Yes, you need to configure a hotkey first in your watch settings (mine is not set up in english, but it goes something like settings-system-hotkeys). Choose one of you like and assign it to change sport.
Also, yes, holding down key always returns to the watch face, although your activity might still be running in the background and you can go back to it by pressing start. You cannot change that behavior (in some other models it is the assigned hot key to change sports, but not in F5)