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When a drop down is used with the Options dialog, it should select an existing default if it said item exists in the list. As an example, I have a lookup defined within an Excel range with the values None, Prefix, Suffix, Embedded. No matter what has been selected before, when the drop down opens, the first item in the list is selected (e.g. None in my example). If the user had selected other options in prior runs, those should be honored when the drop down is opened.
We have not heard back on clarification as to the use case for this idea so we are closing it as "Will Not Implement" until we are able to get more information.
Is this still an issue? If so, could you further describe the pain points experienced when using the lookup window? Are you looking to have all of the selected values shaded/highlighted in the list?