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The adaptation of deep learning models within safety-critical systems cannot rely only on good prediction performance but needs to provide interpretable and robust explanations for their decisions. When modeling complex sequences, attention mechanisms are regarded as the established approach to support deep neural networks with intrinsic interpretability. This paper focuses on the emerging trend of specifically designing diagnostic datasets for understanding the inner workings of attention mechanism based deep learning models for multivariate forecasting tasks. We design a novel benchmark of synthetically designed datasets with the transparent underlying generating process of multiple time series interactions with increasing complexity. The benchmark enables empirical evaluation of the performance of attention based deep neural networks in three different aspects: (i) prediction performance score, (ii) interpretability correctness, (iii) sensitivity analysis. Our analysis shows that although most models have satisfying and stable prediction performance results, they often fail to give correct interpretability. The only model with both a satisfying performance score and correct interpretability is IMV-LSTM, capturing both autocorrelations and crosscorrelations between multiple time series. Interestingly, while evaluating IMV-LSTM on simulated data from statistical and mechanistic models, the correctness of interpretability increases with more complex datasets.