This has nothing to do with the toggle method — first of all, the toggle method internally uses a click event, which won't fire before mouseup, so naturally it won't do anything on mousedown (which is when the highlighting is supposed to happen). And secondly, the functions you're passing to the toggle method don't have anything to do with the "highlight" classes anyway.
The problem is your mousedown handler: It will only add the class "unchecked-highlight", if the element already has the class "unchecked". In the very beginning, those elements simply don't have that class. So, either add those "unchecked" classes to your HTML, or add them programmatically before any toggling action takes place.
.Latest article: Calculators — Tiny jQuery calculator, Full-fledged OOP calculator, Big number calculator
.Latest quick-bit: Including jQuery — Environment-aware minification and CDNs with local fallback