You are changing the color of axis and not highlighting a specific portion of plot. For that purpose you can use fill or patch.
for example i want to create a rectangle fill bw x = [1 2] and y = [4 5]
figure,
fill([1 2 2 1],[4 4 5 5],'b','EdgeColor','none','FaceAlpha',0.5)
xlim([0 3]),ylim([3 6])
By playing with fill you can acheive graph below