Accepted answer

place the caret on the catch keyword and press ctrl+shift+f7.

(find | highlight usages in file). if you are using different keymap and the above shortcut doesn't work, use help | find action to search for this action and see its keyboard shortcut:

find action

if you want it to work automatically, enable settings | editor | highlight usages of element at caret.

the same works on try and throws keywords with a choice of exceptions to highlight.

here is a screenshot from intellij idea tip of the day:

exceptions highlighted

note that there is no way to highlight it by particular exception class until you select this class from the list of suggestions:

exceptions to highlight

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