Hi,
yes, that's how the search through tables works. Unfortunately, I don't really know a good approach to highlight the found search terms. The best way might be via some JavaScript code, which is only executed on search result pages. Unfortunately, I don't know how that could look like, sorry :-(
About the theme: Yes, the JavaScript works as expected. If you enable the "Use Default CSS" checkbox on the "Plugin Options" screen, the table should look better, with better aligned elements, and also sort arrows.
(If you already have checked that checkbox, then this could mean that your theme's "header.php" file does not contain a call to wp_head();.)
Regards,
Tobias