Unconventional Reservoir simulations involve several challenges not only arising from geological heterogeneities, but also from strong nonlinear physical coupling terms. All exiting upscaling and multiscale methods rely on a classical sequential formulation to treat the coupling between the nonlinear flow-transport equations. Unfortunately, the sequential strategies become severely inefficient when the flow and transport equations are strongly coupled. Examples of these cases include compositional displacements, and processes with strong capillarity effects. To extend the applicability of the multiscale methods for these challenging cases, in this paper, we propose a Constrained Pressure Residual Multiscale (CPR-MS) method. In the CPR-MS method, the CPR strategy is used to formulate the pressure equation, the approximate conservative solution of which is obtained by employing a few iterations of the iterative multiscale procedure. Several local- (ILU(k), BILU(k), etc.) and global-stage (Multiscale Finite Volume, MSFV, and Multiscale Finite Element, MSFE) solvers with different localization conditions (Linear BC, Reduced Problem BC, etc.) are employed in order to find an optimum strategy for the highly nonlinear compositional displacements. Numerical results for a wide range of test cases are presented, discussed and future studies are outlined.