Here is what you can do, if you want to make a highlight without people seeing it in your story, for example post events from 1 year ago into your highlight. At least thats where I was trying to go with this.
Go to Settings/Privacy/Story/“Hide Story from” and select all your followers. Then post the things into your story, add the to highlights, remove them from the story and undo the “Hide Story from”.
Thats the only way I found to do this. I hope it helps some of you!