Hello,
Thank you for using Microsoft products and posting to the community.
Based on your descriptions, you may have annotations turned off in the viewer. The highlighting tools are disabled when annotations are turned off; if you have already made highlighting before you disable annotations, the highlighting is still saved, just not visible; that is the reason you are being asked to save the file.
To turn annotations on, simply click the gear icon in the top-right of the viewer, and disable "Hide all annotations".
Feel free to post back if you need further assistance.
Best Regards,
Johann - MSFT | Microsoft Community Support Specialist