Bumping because all the forum spam dropped this post past the 4th page almost immediately.
When you're clicking on the header Tableau highlight the marks associated with that header. Reference lines (and bands) aren't marks, so they don't get highlighted by that header selection. The only workaround I can think of would be to compute all of the box plot calculations, then use Line, Bar, and/or Polygon marks to draw the box plots. This would require some pretty heavy duty reshaping of the data to get it to work, tho.