More than highlight they'll do schema validation against inline SQL strings also.
VS Code does (did?) detect embedded SQL in PHP and correctly colour it, but only if it's on a single line. Any linebreaks and the colour is turned off. Also, if you're using prepared statements and have an @label, and that label is at the end of the string (so immediately followed by a closing quote), the SQL colouring continues into the rest of the PHP beyond the string. So it's important that single-line SQL statements ending in a @label be edited into multi-line statements to turn off the broken SQL colouring. Odd.
PHP strings tend to have better syntax highlighting with here/now docs (i.e. starting with `<<<TOKEN`). I've found SublimeText to have excellent SQL detection when using these tokens to delineate queries (and the syntax lends itself well to block strings anyways).
This is Jetbrain's "language injection" feature if you want to look it up. It works with any languages that the IDE supports, and like a sibling comment mentioned it does more than syntax highlighting.
If you're working with some established framework and project structure their IDEs pull that information out of that, otherwise you'll need to at least tell it the dialect, but if you e.g. configure the database as a data source in the IDE you'll get full schema xref.
Another aside: that is true for a huge range of programming languages as well as things like HTML. I believe it can automatically add \ to " in strings when those strings are marked to the IDE as HTML.