As you can see, one of the items here is "isearch", and it's both bold and underlined, with a yellow foreground and red background. I set that up as part of a custom theme that I wrote for oh-my-zsh.
I'm not sure if zle_highlight is part of the standard zsh package. I'm sure that there is a way to get bash to do something similar, but I don't know what it would be. (I switched from bash to zsh about 4-5 years ago, and have only good things to say.)
I use gnome-terminal and I don't see any highlighting there. But it seems to work in zsh for OP. (Probably oh-my-zsh is providing it.)