Research shows that highlighting does not improve reading comprehension because it does not encourage elaborative processing of the material.
While highlighting gets you involved in what you're reading by making you extract the important points, it often becomes a physical mechanism (a repetitive movement of the hand) more than it encourages thinking about what you are highlighting.
According to a study by Sarah Peterson in the 1990s, highlighting only helps when students go back to what they have highlighted and take the time to process it.