You are a COBOL developer and you are using ISPF running under TSO – (at least I hope you aren’t using the old TSO line editor, yuck)
On the ISPF EDIT command line, you issue the HILITE command and get an error message claiming your terminal will not support enhanced coloring. Your terminal settings are most likely wrong. your TERMINAL settings, not ISPF, not TSO. Your TERMINAL EMULATION settings is where I would start.
By the way, HILITE is one of the settings in your ISPF PROFILE. I have a profile for COBOL, so when I am editting a PDS whose name ends in .COBOL (e.g. userid.DEV.COBOL) the ISPF PROFILE named COBOL is activated with all of the settings required for COBOL (e.g. NUMBER ON COBOL, CAPS ON) and when I am editting an ASSEMBLER program from a PDS whose name ends with ASM the ISPF PROFILE named ASM is active with things like HILITE ASM. You should look into it, but first get your PC to terminal emulation settings defined.