Highlight the first page pagination_links

Are you looking for something like this?

You need to add style for the class .current also current page number wrapper in span you can also use this to style.

 <span class="page-numbers current">1</span>
 <a class="page-numbers" href="#page2">2</a>
 <a class="next page-numbers" href="#page2">Next »</a>

When you go to page 2 structure become

 <a class="prev page-numbers" href="">« Previous</a>
 <a class="page-numbers" href="">1</a>
 <span class="page-numbers current">2</span>

Tested your code its working fine all you need to do is add style for it.

 .current{
     background:yellow;
     padding:10px;
 }