Highlights are a separate event kind. Kind 9802, specifically. Not all clients support all event kinds, nor should they.

That said, I think it makes sense for major kind 1 clients like Primal to also support highlights, as people naturally want to share quotes they found interesting with their followers and spark discussion around them without their followers needing a separate app to see the highlight.

Highlights are also really nice to use within a long-form article. I think I have a highlight in one of my articles. I wonder how Primal reads handles it...

Highlighter.com also supports highlights, as does Amethyst on Android.