You can only highlight in ePub and iBooks Author (textbook format) files. These are the standard formats for the iBooks Store. PDF files have no highlighting or other annotation features. The most you can do is bookmark the page.
As you've discovered, if you want to annotate PDF files you need to use a third party app.
PDF files have a different layout, controls, and a default category/collection in iBooks. This is especially obvious in landscape view. If there was ever a way to highlight PDF files in iBooks, I don't remember it.