Hi there I actually managed to get this working. After looking at the HighlightEffect2D.cs script I realised that it was caching a reference to the SpriteSkin on the gameObject and wasn't respecting the "Children" Include field.
I solved this by adding a HighlightEffect2D script to each body part (for me was just Head, Torso, Arms, Legs) then setting Include to "ObjectOnly" and it works fine now.
Only downside is you need to select all the gameObjects to make adjustments otherwise you're only adjusting that single body part. This is not an ideal workflow, but at least it works as expected now.
I did try modify the HighlightEffect2D script to store the SpriteSkin as an array but it did quite work out for me. I don't know the code well enough to try make that work. If I do I'll post it here.