Highlight colours the background. That's all that it does. There is no facility in Word to add coloured wiggly underlines as highlights.
I suppose you could add a coloured wiggly underline font characteristic e.g.
Code:
Sub Count_of_words()
Dim s As Range
For Each s In Selection.Sentences
If s.Words.Count > 20 Then
With s.Font
.Underline = wdUnderlineWavy
.UnderlineColor = wdColorDarkYellow
End With
End If
Next
End Sub