Also on indesign cc 2015 there's a paragraph shading.
Thank you for this. This did the trick. I hope this is not the only solution. It's not user friendly and in some situations it's difficult to use.
Don't overlook Salah's post above. Paragraph shading looks like it might be just the thing for you - and it you combine it with the use of styles, you could change the background colour of all your highlighting with one click ...