Annotation/Highlight doesn't work in Apple Preview
You can't highlight text because the format of your screen capture is a bitmap (a set of pixels and not text).

Nonetheless, if the text you wanted to highlight is horizontal enough and not too distorted, you can achieve a nice highlighting effect with Tools &gt; Annotate &gt; Rectangle. Then choose a color which isn't frequent inside your image, let's say Lemon and decrease the opacity to less than 25 % to be able to see the text through as in this example:


If your need is important in volume of text to highlight, you will have to use an OCR software to transfom your image into text.