When you apply a character style via a GREP style, InDesign considers it as a ‘live’ character styles and not ‘fixed’. So basically, only the paragraph style ‘knows’ that certain text contain said character style, but if you select these text and look in the character style panel you’ll see that no character style is applied! So when Find/Change is looking for this character style (in your case, “highlight”) it doesn’t find it, because technically it’s not applied to the text. If you were to apply the “highlight” character manually then it would’ve found it.
So what do you do?
Simple. Let’s say your GREP style code is something like this: \(.+?\) (which, by the way, selects all text in parentheses, parentheses included). Then just do a GREP Find/Change for this code. So it will look something like this:
Find What: \(.+?\) (or any string that you used in the GREP style)
Change To: Whatever you want
Find Format: LEAVE EMPTY This is very important! Because if you have it look for the “highlight” character style, nothing will be found!