How to make Word highlight/underscore words that are listed in a custom dictionary and not words outside of it?

Word can't do that automatically; what would be required is a macro that reads the custom dictionary then uses Find/Replace to highlight all the words in your document that match the custom dictionary entries.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]

You could approach this by putting your list into an exclude dictionary. Activate the exclude dictionary after completing a regular spell-check. It will not select or highlight the words in the exclude dictionary, but it would mark them as misspellings.

Mastering the Spelling Checker