I never claimed that paragraph styles only store paragraph formatting.
Of course they store font formatting, too. And, clearly, highlighting
doesn't fall into either of these formatting categories, since it
cannot be stored in a character or paragraph style. The question,
asked by the OP, is: "Why is this?".
A possible answer is that highlighting is used to indicate to
reviewers what they should look at in a document. The focus is on the
highlighted text itself, not on its (visual) format. Therefore, it
makes sense that highlighting is not a text attribute, and that it is
not affected by style changes. It should only be applied or removed
when you explicitly choose to do so.
As Suzanne points out, there is an attribute, namely shading, that is
similar to highlighting. Shading is indeed an attribute of text,
comparable to bold or italic, and you *can* store it in a character or
paragraph style.