If your "Grid Mode" is set to "Select Items", then the row highlighting should be automatic. There are several grid style presets to choose from on the Response tab, but they all seem to have this characteristic.
If your Grid Mode is not set to Select Items, though, then your grid isn't geared towards having users select rows, and therefore the highlighting doesn't happen...e.g. if you're set to Editing Items, you want users to think about clicking into individual cells, not whole rows, and so it would be distracting to highlight the whole row.