No, you are not doing anything wrong. It seems that feature only applies to the current instance of the document. You are correct, if you close and reopen the document the hightlighting is restored.
All I can suggest, and hopefully it is something you will be able to employ, is a VBA procedure to execute automatically whenever the document is opened:
HTML Code:
Sub AutoOpen()
ActiveDocument.Windows(1).View.ShadeEditableRanges = False
End Sub