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