I could have sworn I used to be able to change the highlight color using this little downward arrow, but these days, it does nothing… no drop-down behavior, just wherever I click, it uses the last color I selected via the Format–>Highlight Color menu.
Tip: You can set keyboard shortcuts for each highlight color in System Settings > Keyboard > Keyboard Shortcuts… > App Shortcuts. The shortcuts are applicable to a number of file formats, rich text and PDF included, within DT. Much handier than selecting from a dropdown menu.