1. Create a new scene
2. create a button ( GameObject -> UI -> button
3. go to the canvas, change the render mode to screen space - camera
4. set render camera to the main camera
5. set the canvas as a child to the main camera
6. hit play

Result: the button doesn't get any highlight.

Then you can try to unparent the Canvas from the Camera and it will work.

Verified in 5.4.b22 and unreproducable in 5.3.4f.