That 'blue' you are showing is referred to as Turquoise by Microsoft (or cyan by me) so you would need to change the blue case in the code to
Code:
Case wdTurquoise
aRng.InsertBefore "[Color: Blue]".
The point of the Case Else is so that when highlight colours were not explicitly named above you had a way of catching those instances. When there are contiguous blocks of different highlight colours they will be handled by the Case Else statement. You would need to add code in that case to step through each character in the found range and test the highlights. I haven't got time for that right now but if no one gets back to you I can have a look at it in a few days.