Highlighting data in dimension elements is available in regular reports in the desktop application, express reports, dashboards, if source data caching is enabled.
Data highlighting is used to display dimension elements, for which there is data.
To highlight data in dimension elements:
Make sure that caching is enabled in data source.
Select the Enable Highlighting checkbox on the Data tab in the Data/Source group of tabs on the side panel:

Set the parameters:
Enable Highlighting. Selecting the checkbox enables highlighting of dimension elements, for which there is data.
Highlight Values Between. Selecting the checkbox enables filtering by data values that are used to display dimension element highlighting.
After executing the operations, dimension element highlighting is enabled in the Selection group of tabs on the side panel:

All elements, no matter whether there is data about them, will be specified in dimensions. Elements with data are highlighted in black and elements without data are highlighted with grey.
NOTE. If data aggregation is set up in the data source, the parent element without data will be highlighted with black if the child element contains data.
After the data highlighting by elements is enabled, only elements with data will be available for selection.

Parent elements are selected regardless of whether there is data in it, if there is data in child elements.
See also:
Working with Dimension Elements | Setting Up Displaying of Dimension Names