when i signed up to take the USMLE practice actually AT the testing site, they sent me an email that said the testing sites have not been upgraded to use the new 2006 FRED software (which has the highlighting feature) with the CBT practice exam. kind of annoying, since the whole reason to take it at the testing center is to get the same situation you would have at the real thing, in my opinion.
soooo... summary... for the real thing, yes you can highlight. for the practice test taken at the site, you cannot highlight.
i may be wrong, but i think the NBME practice exams are separate from the one the USMLE website has available, so maybe that's why you cant highlight.