Just as you would do with a mouse pointer, you'll need to move the highlight from one screen to the next. Start pressing to highlight on one screen and then move your hand until the highlight reaches the other screen. It should then stay and start from there for the rest of the presentation. You can also change your display settings to "mirror display".
If you have this issue during a video call, make sure to select to share your entire desktop in the video call and not only a specific window. This will ensure remote participants can also see the highlight effect.