Tente com as seguintes alterações:
Sub SwitchHighlightsColor()
Dim r As Range
Set r = Application.Selection.Range
With r.Find
.Highlight = True
Do While .Execute(FindText:="") And r.InRange(Application.Selection.Range)
If r.HighlightColorIndex = wdYellow Then ' Highlight color you want to change
r.HighlightColorIndex = wdRed ' the new Highlight color you want to have
r.Collapse 0
End If
Loop
End With
End Sub
EDITAR:
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SubSwitchHighlightsColorPerLetter()DimrAsRangeSetr=Application.Selection.RangeWithr.Find.Highlight=TrueDoWhile.Execute(FindText:="") And r.InRange(Application.Selection.Range)
For Each x In r.Characters
If x.HighlightColorIndex = wdYellow Then ' Highlight color you want to change
x.HighlightColorIndex = wdRed ' the new Highlight color you want to have
x.Collapse 0
End If
Next
Loop
End With
End Sub