We can't debug if we can't reproduce. From your last previous TDP (3.8, 4.0, etc) can you generate a support bundle and post. I would like to experiment with your files. Perhaps there is something different in them that we are not seeing.
I would also like to confirm that you are choosing to migrate all other files and it is just the highlighting styles that is not copied. All other settings are migrated, IE: connections, layouts, etc