Messages on the Mac does not support rich text (e.g. highlighting, underline, etc.) authoring (even with copy/paste styles). Someone using Thunderbird, or MS Outlook mail clients can send you email messages with yellow text highlighting, because Apple Mail understands HTML background colors. Apple Mail lacks the native user controls to apply a (lasting) highlight on composed, or replied email.
You can compose your e-mail response in TextEdit, apply yellow highlight, strike-through, and other features, then export it from Rich Text to an HTML document. You double-click the latter, and it will open in Safari. You then copy/paste the Safari viewed content into the body of your Apple Mail compose window. Most will not want to do this, as it is just annoying.
I have successfully sent and received the original email including the (invisible) HTML markup, including the yellow background, in Apple Mail. Your mileage may vary depending on the capabilities of the recipient's mail user agent.