Quality-Diversity (QD) optimization is an emerging field that focuses on finding a set of behaviorally diverse and high-quality solutions. While the quality is typically defined w.r.t. a single objective function, recent work on Multi-Objective Quality-Diversity (MOQD) extends QD optimization to simultaneously optimize multiple objective functions. This opens up multi-objective applications for QD, such as generating a diverse set of game maps that maximize difficulty, realism, or other properties. Existing MOQD algorithms use non-adaptive methods such as mutation and crossover to search for non-dominated solutions and construct an archive of Pareto Sets (PS). However, recent work in QD has demonstrated enhanced performance through the use of covariance-based evolution strategies for adaptive solution search. We propose bringing this insight into the MOQD problem, and introduce MO-CMA-MAE, a new MOQD algorithm that leverages Covariance Matrix Adaptation-Evolution Strategies (CMA-ES) to optimize the hypervolume associated with every PS within the archive. We test MO-CMA-MAE on three MOQD domains, and for generating maps of a co-operative video game, showing significant improvements in performance.