How to define multiple colums in TTMSFNCCheckedListBox

Is it possible to define multiple columns like in TCheckListBox?

No, the listbox is a single-column checked list. Please use TTMSFNCTreeView instead, the TTMSFNCListBox/TTMSFNCCheckedListBox uses a TTMSFNCTreeView internally, you can check out which properties need to be set to achieve this behavior, we will investigate if we can add column support in the future.