Wolfram hasn't implemented multivariate random number generation for user-defined distributions.
This is not true. It depends on the symbolic form of the distribution. Try a simple polynomial one, and it will likely work.
d = ProbabilityDistribution[x^2 + y^4, {x, -1, 1}, {y, -1, 1},
Method -> "Normalize"]
RandomVariate[d]
This, along with features like RandomPoint
, opens up a lot of flexibility for designing an efficient rejection sampling scheme for more complicated distributions too.