You have to open the exchange with the character you want to be highlighted, they control the exchange and the comparison options, the other characters are there just for convenience. There is a reason for this, if you haven't caught this yet, not only are proficiencies and comparisons locked to the main character the exchange rate for them is also based on their stats and skills. The rest of the characters are not effected and just get the base exchange rate. I guess this is to highlight each character's ability level otherwise what would be the point of having a high CHR and Bartering Skill if you always got the best regardless of the character chosen. It is a bit of a pain but there is a reason.
Also, next time you do an exchange try giving the vendor a few inexpensive items for nothing and watch what happens to their happiness slider and how it affects your future exchange rate. Then notice how the other characters do not benefit because they haven't built that relationship. There are some subtle mechanics in this game that at first seem arbitrary but are justified.
Anyway, while I understand that it can be inconvenient it's not bug.
