You might try adding DoEvents before the Loop line. That might prevent the lockup. However, much faster I think would be to create a character style with "shading" vice highlight and then use:
Sub BoldHighlight()
Dim oRng As Range
Set oRng = ActiveDocument.Range
With oRng.Find
.Font.Bold = True
'Create a character style with a "Shaded" background.
.Replacement.Style = "StrongShaded"
.Execute Replace:=wdReplaceAll
End With
Set oRng = ActiveDocument.StoryRanges(wdFootnotesStory)
With oRng.Find
.Font.Bold = True
'Create a character style with a "Shaded" background.
.Replacement.Style = "StrongShaded"
.Execute Replace:=wdReplaceAll
End With
End Sub