Looking at the screenshot you have provided it seems that Pega is not able to display the highlighted extracted entities.
It is done using activity "pyHighlightEntitiesInClient" last step - JAVA. You may want to check that in your email which came in is there any double quotes around any of the extracted entities from the body/attachment. If there are any - then Pega would not be able to generate the JSON which is required to highlight the entities.
If that is the case then try changing the below line in the JAVA step