For hundreds of thousands of years weve been getting our vitamins from food sources, and are not accustomed to getting them all at once. The body even has trouble absorbing nutrients when we eat too large a variety of food at once.
Also, there are the thousands of "helper" enzymes that are necessary for the chemical reactions to occur. An orange contains about 25,000 phytochemicals alone for the body to absorb Vitamin C properly. I dont think that it's an accident that they are conviently contained within the orange, it is how we evolved to digest it. These phytochemicals havent even been fully cataloged much less put in pill form yet.
May have gone a bit overboard with saying not to take a multivitamin at all, but just dont try to make up for a poor diet by taking them. Eat good, real food.
BTW, the color is from Riboflavin (Vitamin B2), and the yellow effect is from not getting enough vitamins before and now your body is adjusting for the excess. The yellow color should go reduce or go away eventually.