Highlighting in Adobe Reader

You can change the Highlight color by pressing Ctrl+E and then selecting a new color for the selected comment.

There's no built-in option to sort or filter comments by color, though.

However, it can be done using a script, like this (paid-for) one I've created:

http://try67.blogspot.com/2011/11/acrobat-filter-comments-by-color.html

I've also created a script that allows you to switch between highlight colors much more quickly then the built-in way:

http://try67.blogspot.com/2015/03/acrobatreader-quickly-switch-between.html