When using customized termination criteria in multi-objective environments, if no incumbent is available when reaching the TimeLimit for the first objective, then the complete multi-objective optimization hierarchy stops with return code TIME_LIMIT (even if the global time limit for the multi-objective problem has not been reached).
This is expected behavior, because when optimizing the second objective, Gurobi will only consider solutions that do not degrade the solution obtained for the first objective, and no such solution exists if there is no incumbent solution available for the first objective.