You cannot do the highlight in Finder of El Capitan 10.11.4. However, there may be other methods to do it.
How can you highlight a symbolic link in Finder of El Capitan?
Set your highlight on the original, the symlink will follow - even across different drives on the same machine, even across different machines, so long as they are able to see each other.
Note: Sometimes the changes are not visible immediately to the Finder. Any change to the folder is usually enough to 'remind' it.