In DVDA2 sorry no.
I am working on a utility to do this but if you can't wait you can use two
programs IFOEDIT and VOBEDIT.

Prepare your introductory and background video in Vegas where you would have the
buttons and highlights appear. (AS ONE MPEG)
I recommend 3D like bevelled edges for buttons as you can place the highlight color in the center.
Use the copy to clipboard function to grab a copy of the background image.
Using your favorite image editer such as Paintshop Pro etc create a custom highlight mask as mentioned in the
http://mediasoftware.sonypictures.com/Products/DVDArchitect2NewFeatures.pdf
starting on page 54.

Prepare your DVD so the menu automatically jumps to lets say your PLAY
MOVIE button. (there is a reason for this I'll explain later) If you preview your
video you will see the highlight during the entire menu sequence. We will fix
that.

Start the VOBEDIT program. Open your VTS_01_0.vob file. (this is where
your menu file should be found) Click on EDIT in the upper left corner and PREVIEW.
You should see your menu file. You will NOT see highlights.
Close the viewer for now.
On the left side you will see many lines some will have icons such as a film
or the Dolby DD logo. The line that does not have a logo will say Navigation Pack.
Click on that line.

Toward the lower right will be radio buttons click on the one labeled Button.
About midway down the screen on the right find "Highlight status" double
click on it. You can now edit it. Change it from either 1 or 2 to 0 (zero).
Using the vertical slider scroll down until you find the next Navigation Pack.
Change the highlight status to zero. Navigation packs occur about every half
second so you will need to clear enough to reach the number of seconds
your buttons will fade into at.

The program I am writing will allow you to do this automatically.
Notice the number on the left of the line (the LBA) as you may need to
come back later to this point to do some fine tuning.
You may see your progress by playing your video using IFOEDIT or WINDVD etc.
Your highlight will be gone in the beginning and appear at the point you have
not edited the navigation packs.

This was the easy part if you AREN'T looping your menu. If you are you will
see the entire sequence before the buttons and with the buttons.
To go back only to the point where the buttons are you need to split the file into
two cells. My utility does that for you. The IFO files also need to be edited
and that is where my program is taking alot of time to figure out. I hope to
have it completed this summer.

Hopefully SONY will see the need and add this feature to DVDA2.1 (HINT HINT)

RC, can you change the color of the highlite as well?

I am going to try what you have listed here on an old project that I did in DVDA 1. On that project I did my whole menu in Vegas and just added text only buttons with no text in DVDA. So I have the underline showing up during the intro video to my extras screen. I made the underline white to blend into this intro but the underlines on the main menu are yellow. If I can get this to fade in I would like to also make them match the main menu theme.

My menu desn't loop but there are 3 pages. Is changing the underline color possible? If so where do I look?