Unlike the free Adobe Acrobat Reader whose annotation properties allow Highlight color picking, Apple's Preview has never featured a highlight color picker. As strictly fellow user-supported public communities, we have no access to internal Apple product planning.
If one can infer from history, Preview has not had a color picker even when implemented in NeXTSTEP/OPENSTEP, so highly unlikely to receive that capability now.
You will have to decide if you want the extra labor of the color filled and transparency adjustment steps to implement the rectangular annotation alternative to each Highlight annotation suggested elsewhere in these threads. A filled rectangle solution is portable when opened in the current Adobe Acrobat Reader.
Or just switch to Adobe Acrobat Reader (and keep it updated) to initially apply Highlights in your own custom color without other efforts. The Adobe product does not feature a menu driven Highlight color selection, but one can add custom Highlight annotation colors to the Apple Color Picker that Adobe uses.
I was going to recommend the free Skim PDF Reader but when I change the color of the annotation highlight using the toolbar color picker, that Highlight does not appear in Apple's Preview, or in Adobe Acrobat Reader.