I assume you mean the "Save All MarkNets" feature (not "savealhighlightmark" or "savehighlight" - maybe you're talking about something else?).
When you mark the net, if you hit F3 before clicking on the nets to mark, there's an option called "Retain Via Info for Save MarkNets". If you check this checkbox, then the nets you mark when saved will include the vias.
This is certainly in IC615 ISR10 - I didn't check to see precisely when it got introduced.