I've created a custom style and it's showing up in the list of styles with a white highlight. I have two other custom styles that are showing up fine. I made a test one with italics (no other style except the one with the highlight error has italics) and it, too, is highlighted although, in this case, the text remains black instead of white. Possible bug. Do we submit bugs? I'm on an iMac (Retina 5K, 27-inch, Late 2015) with High Sierra v 10.31.1
Text highlight is indeed saved into a style if you opt to save character formatting, and white highlighting is a valid (albeit awkward) highlight colour, so it is possible the text you used to create the style had a white highlight.
Try setting your editor background to off-white temporarily (Appearance: Main Editor: Colors), it should help these sorts of things stand out.
.:. Ioa Petra'ka “Whole sight, or all the rest is desolation.” —John Fowles