The highlights you made in FreeTime are preserved in My Clippings.txt, but you can’t see them on the Kindle unless you are in FreeTime mode. Progress between FreeTime and regular mode are tracked separately, too. I now pretty much only use my Kindle in FreeTime mode so that my reading statistics are tracked. If you are a data nerd and want to crunch the data on your own, it is stored in a SQLite file on your device under system > freetime > freetime.db.