Unfortunately, Endnote’s highlighting tool seems limited to the yellow color. You could, however, use different highlighting colors in Adobe Reader (free) and/or Adobe Acrobat (paid full version).
If you have the Adobe Reader or full Adobe Acrobat program installed just right-click on the PDF in Endnote’s PDF preview window to display the submenu and select to open the PDF in either the Adobe Reader or Adobe Acrobat. Then in Adobe Reader/Adobe Acrobat select color Tools > Comments & Markup > Highlight Text Tool and highlight the text. To change the highlight color, select the highlighted text then right-click and select Properties. Click the color box to change the color then ok to exit.