The thing you need to understand is that the Catweasel does not emulate the native disk controller. This isn't possible because you'd need the Paula emulation to work at exactly 100% speed guaranteed, and unless you're running a realtime OS on a very fast machine, that's not going to happen. Plus I don't think WinUAE would support it anyway because of the way it works.
What WinUAE does do, is emulate a Zorro Catweasel plugged into your virtual Amiga. So you need to install the Amiga drivers and use multidisk.device exactly as you would on a real Amiga with a Catweasel installed.