I thought this might be the case but I've never used advanced highlight actions before and I don't really understand them. Can you be a bit more specific based on the pic I've pasted above?
You would select X and Z from one of the sheets (using Ctrl-click to select multiple) and the action would also highlight the X and Z in the other sheet.
On your dashboard go Dashboard - Action. Add Action - Highlight. Then set your source/target sheets - with Source being the clicked and target being the sheet(s) you want to highlight based on the click in the source.
You can set it to only fire when a specific field is clicked or leave it as All Fields. You can also have it work on Hover rather then Select (Click). Check the screenshot a v simple one I set up to highlight both Sheet 1 and Sheet 2 when a selection is made in either sheet.. This works on click and Category is the field that will be highlighted.
Thanks Andrew. That all makes sense now. I tried it and it works.