Some types of documents are not compatible with the highlighting feature. Additionally, some files, such as .jpegs, may have images instead of text, making it impossible to highlight.
In these situations, you can still use the Document Reviewer to review your evidence and link your fact to the specific page that proves it. When you are ready to create a fact, click the orange "Cite Page" button on the top menu bar to open the fact form. From there you'll be able to type in your fact, link witnesses, issues, etc.
By using "Cite Page" you will have linked your fact to the page of the document that proves it.