The use of bold definitely makes it easier to locate the source of the error. However, as @Riateche rightfully points out, it feels somewhat redundant and heavy-handed. Another thing which I would point out, looking at @colin_kiegel's recent poll on the new format of pretty_assertions, is that you'll definitely want to test this on a terminal with a bright background color, because bold text tends to stand out less on these.
I think the reason why bold feels like an improvement is likely that neither of the existing highlighting methods, colors and underlines, is very effective at putting the focus on the relevant span of text. That's because they are visually "too far away" from the text. It gets especially bad in the "functions generic over types must be mangled" warning, where the blue highlight is equally close to the top text and the bottom text, although after looking for a while, one will figure out which is which from context since rustc only uses underlines.
So instead of adding a third highlighting method, perhaps one of the existing two methods should be brought closer to the text that it is highlighting. With this in mind, I like your suggestion in the Github issue to propagate the color of the underline to the highlighted text:
