font.highlight_color appears to work fine when applied directly to a run's font, this way.

run=para.add_run("this should have a yellow background, but with no style (!)")
run.font.highlight_color=docx.enum.text.WD_COLOR.YELLOW

When applied using a style, it seems to have no effect.

style=doc.styles.add_style("highlightYellow",docx.enum.style.WD_STYLE_TYPE.CHARACTER)
style.base_style=doc.styles["Normal"]
style.font.highlight_color=docx.enum.text.WD_COLOR.YELLOW

para.add_run("this should have a yellow background, but does not",style)

In Microsoft Word, I can see that the style is being applied to that run, but it's background isn't yellow. If I look at the style using the Modify Style dialog, the sample text snippet shows a yellow background, oddly enough. But in that dialog, Format/Border.../Shading says that Fill is No Color. Selecting yellow there fixes it. Another oddity is that I do get a yellow background opening the same document in LibreOffice, oowriter.

I'm gathering some XML to help isolate this, and will attach it to the issue.