You can also subclass, and implement your own search. (currently it searches all occurrences of search-term)
TSynEditMarkupHighlightAllMulti => many search terms / NO regex
TSynEditMarkupHighlightAll => also basic regex iirc, and multiline
If you subclass you can also just add the locations, but then you need to update them when the text is edited.
In general, you can look at TSynEditMarkupSelection which highlights the selection => you can write a markup from scratch. It will be given all tokens for every line, and can highlight any part of them, whatever you want to do.
It supports back/fore color, frames, font style (italic/bold/underline). And colors can have an alpha value, and priority to compare against other colors that a token may have applied