I don't think it can be done without using VBA, but it can be done without losing your undo history:
In VBA, add the following to your worksheet object:
Public SelectedRow as Integer
Public SelectedCol as Integer
Private Sub Worksheet_SelectionChange(ByVal Target as Range)
SelectedRow = Target.Row
SelectedCol = Target.Column
Application.CalculateFull ''// this forces all formulas to update
End Sub
Create a new VBA module and add the following:
Public function HighlightSelection(ByVal Target as Range) as Boolean
HighlightSelection = (Target.Row = Sheet1.SelectedRow) Or _
(Target.Column = Sheet1.SelectedCol)
End Function
Finally, use conditional formatting to highlight cells based on the 'HighlightSelection' formula: