Looks like this is reported at http://sublimetext.userecho.com/topic/42491-gets-stuck-in-full-screen-mode-if-its-on-a-secondary-monitor/ as well.

The current highlight circle just needs to be themeable. I'd want black text in a yellow circle. Coda does a wonderful job of highlighting text that you're looking for and uses a subtle animation to bring your attention to the item that's selected (there's a bit of a bounce to it when the text comes into focus).