PDF Export displays Highlight or Border Highlight legend but not both
In the Space Console, choosing a Highlight with no Border Highlight and then performing a PDF Export will display only the Highlight in the Legend. Choosing Border Highlights with no Highlight will display only Border Highlights in the Legend. If both are chosen, only the Highlight legend will be displayed in the PDF Export. Both legends should be displayed in this case.

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Sheri Leese commented
Having the capability to print to PDF both the highlights and the legends for Borders as well as Room Highlights at the same time is ideal, in a format other than export what you see, where you do not get a legend.
You are able to view the legend for both by clicking on the Legend icon in Space Console, why not provide the ability to export everything at the same time?