I think Nermander is correct, as usual. I've tried a few experiments and I can't think of a way of highlighting some text in the way you mentioned other than drawing a shape manually and sending it behind the text.
You might find it difficult to get the shapes to be a consistent height if you draw them individually so a simple tip would be to draw one and get it just right (height, colour, etc.), then send it to the scrapbook. You can then drag the "standard" highlight from the scrapbook and change its width as needed.
One other tip I would give if you go down the "drawing coloured shapes behind the text" option is to do this only very near the end of your design phase. If you change the text in any way - any edit, or a change in hyphenation, or even just slightly tweaking a frame dimension - could move all of the text around and you'll have to check/move a lot of shapes.
One other thing I can point out is that this highlighting functionality has already been requested - Mantis issue 0010683 - and, if I'm reading it correctly, has been set as a 1.5.0 milestone (but I don't think that means it will definitely become a feature though).
A quick look at my 1.5.0svn installation doesn't show anything obvious but I've got an old build installed. If you're okay compiling your own software - unlike me, which is why I've still got an old version - you could try the latest version of 1.5.0svn and see if it contains the functionality you need but be warned that any files you save with 1.5.0svn cannot be read with earlier versions, so make a copy before you experiment.
I hope some of this helps.