A way to automatically highlight audio files in the Pool?

AFAIK not possible in Nuendo. Probably worth a feature request.

Agreed it’s worth a feature request à la “link selection in editors” (not sure of the exact term),

I have always assigned two key commands :
1 : Find selected in pool
2 : Select in project

Best regards

Select the files you want in the playlist and then hit “Control F”. Is that what you’re looking for?