Step 1: Check statement (A).
Nitrogen can form multiple bonds with itself.
In:
\[
\ce{N#N},
\]
nitrogen forms one sigma and two pi bonds.
These pi bonds are formed by sideways overlap of \(p\)-orbitals.
So statement (A) is correct.
Step 2: Check statement (B).
Phosphines and arsines can coordinate with transition metals.
They can participate in bonding involving vacant orbitals and metal orbitals.
This statement is accepted as correct in the given context.
Step 3: Check statement (C).
Nitrogen belongs to the second period.
Second period elements do not have vacant \(d\)-orbitals available for bonding.
Therefore, nitrogen cannot form \(d\pi-p\pi\) bonding with oxygen.
If nitrogen forms multiple bonding with oxygen, it involves \(p\pi-p\pi\) type interaction, not \(d\pi-p\pi\).
So statement (C) is incorrect.
Step 4: Check statement (D).
Phosphorus, arsenic and antimony can show catenation, although the tendency is less than carbon.
So statement (D) is correct.
Therefore, the incorrect statement is:
\[
\text{Nitrogen can form }d\pi-p\pi\text{ bond with oxygen}.
\]