Sunny, you need to follow Francesco's advice and play the Ensemble voices in a "normal" voice setup (not the Ensemble setup). Doing this you should find most Ens Voices will play chords when more than 1 note is played.
Eg try Ens strings and Ens Saxes. In the latter case I find all will play chords except the SmoothTenorSax, (which like all SA2 voices cannot be changed by editing on the KB) .
Because of the mono limitation I use the SmoothTenor from the "normal" voice section since it is the best one for getting smooth sax harmony effects in BigBand setups with the right edits. Generally the only benefit I find of using the SA2 Ens voice option in normal setups is that they are not programmed to produce that annoying glissando action which can take you by surprise in the middle of playing! Otherwise the same tonal qualities can be got from the normal voices.
John