I'm not sure, what Highlighted state you mean, but I have just discovered this issue with ListPicker.
By default in Windows Phone, when you click some built-in listpicker and hold your tap, the listPicker shows white highlighting until the tap is released. This works in TimePicker, but not in ListPicker.
You can test it in your Telerik Constrols app for WP7 - open the first page for ListPicker samples. Tap and hold the TimePicker - it's white now. Tap and hold the ListPicker - it's still gray.
The expected behavior should be same as in the built/in Alarm application - white after tap.