You may not be sharpening the edge at all, just the sides. Try coloring the cutting edge with a sharpie and trying sharpening then so you see were you're removing metal from and if you're getting to the edge. Learning to freehand sharpen is a process that takes time before you develop muscle memory can do it right.
There are costly and not so costly sharpening systems you can try out but there are also really cheap options. I for instance use simple sanding papers in various grits, from ca. 240 till 1500, progressing from rougher to finer grit as you go depending how sharp an edge you want.
The blade steel just may not be good enough to be able to take an edge.
Why?
Some of these low cost multitool and knives don´t use proper steel so sharpening it can be a pain and not getting an edge isn't that strange.