May I suggest a workaround?
Print to PDF (right click on each book and "print to selected heading and all subtopics" for each book -- if you use BullZip PDF or PDF Creator (trickier), you can append to previous book so you end up with one PDF). This would be a good AHK script candidate actually unless there is something out there that already converts CHM to PDF directly.
Then open up the PDF in PDF X-Change Viewer (lite / free), and highlight and annotate to your heart's content.