I suggest for you to visit this link
and make this question at "Join the Discussion" to see if Splunk have plans to add such functionality
I am not playing too much with MLTK, so If I understood your question properly, the new version 4.4 of MKTL can work with multiple predicted fields,
Please read this doc -> https://www.splunk.com/blog/2019/08/14/what-s-new-in-the-splunk-machine-learning-toolkit-4-4.html
suggestion for you to deploy the MLTK v4.4 in a sandbox to play around and validate if you are able to use this functionality.
I'm sorry, but this does not answer my question. I am looking for categorical prediction, not numerical prediction. It looks like multi-output classification is not yet supported by the MLTK out-of-the-box.