I don’t see a feature request for multi-colored highlighting so feel free to create one.
The challenge is that highlighting is not standard markdown and so whatever is used won’t be portable. Users who use highlighting in other apps (Notion, Bear, DevonThink) have had import issues because every app uses a slightly different highlighting syntax.
You’re right that html is not ideal, but it would be the most portable. You could do some automation with text expanders.