Place the caret on the catch keyword and press Ctrl+Shift+F7.
(Find | Highlight Usages in File). If you are using different keymap and the above shortcut doesn’t work, use Help | Find Action to search for this action and see its keyboard shortcut:
If you want it to work automatically, enable Settings | Editor | Highlight usages of element at caret.
The same works on try and throws keywords with a choice of exceptions to highlight.
Here is a screenshot from IntelliJ IDEA Tip of the Day:
Note that there is no way to highlight it by particular exception class until you select this class from the list of suggestions:
