The agent plugin mk_mysql currently issues a "show slave status\G" query. However, when a single slave has multiple masters (and no default connection) configured, then the result will be empty and no slave status is discovered at all.
Instead, a query for "show all slave status\G" is required to show details for all configured master connections. Alternatively, each configured connection can be queried using "show '$Connection_name' slave status\G" for each $Connection_name.
It would be great if the mk_mysql plugin (and the corresponding check on the monitoring server) would be expanded to support multiple master connections on a single slave.