Since a long time SLIME tries to highlight forms specially that are suppressed due to reader conditionals. That feature has never worked reliably for me; sometimes such forms were highlighted, but most often not. And even if they were highlighted, redisplay (or rather refontification) would often remove the highlighting again.
While resuming to work on my named-readtables library -- which includes a little bit of portability glue --, I became annoyed^W intrigued enough to take a look at the cause of this non-deterministic behaviour.
The issue took more effort than I'd have initially expected. But as you can see from the screen shot, it should be fixed now. It shows the FINALIZE function from the trivial-garbage project. (I hope planet.lisp reader will be able to see the image, too.)