Starting from PhpStorm 2022.1:
To highlight folders containing vcs changed files enable:
File | Settings | Version Control | Confirmation | Highlight directories that contain modified files in the Project tree
Older versions:
As mentioned in comment by LazyOne;
The Project panel does highlight any VCS changes,
but to also highlight all parent-folders of changed-files, enable:
File | Settings | Version Control | Show directories with changed descendants
All kudos to LazyOne!