The "highlights" work by highlighting with a contrasting color. Action
buttons highlight on click using a "reverse"-type highlight -- the edges of
the shapes change to look like a button being pressed. Because the action
buttons already have this auto highlight, you can't also add the contrasting
color highlight. Unfortunately, this means you can't add a mouse-over
highlight, either.
If you use the Bevel autoshape (in the Basic Shapes category), you can set
up your action settings manually and add a mouseover highlight -- but you
still get the same "button press" highlight as opposed to a color change for
both mouse click and mouseover actions.