Copy/pasting the email discussion from when this was filed:

From: Joshua Pettus <jshpettus@...>
Date: Dec 10, 2014, 7:50 AM
To: bug-xboard

Well it’s a little more general then this.  Making an illegal move clears the board of any hi-lights and arrows. Because the hi-lighted square is no longer the last move. The last move was an invalid one.  Idk if this is really desirable. You can scroll back and forward a move to hi-light the last recorded move if you need.

From: h.g.muller@...
Date: Wed, Dec 10, 2014, 2:10 PM
To: bug-xboard

Indeed, this works as designed, and that this is on a pre-move is just co-incidental. It seems that the desired behavior is that after rejection of a pre-move (or any move) the original state of the highlights is restored, though. In principle that should be possible. I can imagine that this is most desirable on a premove, where the rejection would be instantly, so that the user never gets the chance to see the opponent move.

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So, the conclusion was (1) restoring the highlights after an illegal move is rejected might be a desirable feature, (2) in the absence of that, you can use the back/forward buttons to see what the last move was and get the highlight back.

Both the X11 and GTK versions have the same behavior.  (I imagine WinBoard does too...?)