Unfortunately that's not the case. The mod should work properly from the very start of a new game, but I have just took a look at the code, and discovered that I didn't provide a way for the menu highlights to become active once a game has already been started.
I just made a small change to one of the scripts and it should work perfectly for you now and I also updated the mod itself in the main post.
Right click and save the .rpy file below, and place it inside the "mod" folder (Replace the one that's already there) and then go to the walkthrough settings menu, and turn the 'Menu Choice Highlights' off and back on. This should then activate them correctly.