Played a Highway, and then played Captain, choosing Highway in supply pile. Second Highway did not cause card costs to reduce by 1.
That's correct.
Highways's text:
+1 Card. +1 Action.
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While this is in play, cards cost $1 less, but not less than $0.
Note the "While this is in play" condition. The second Highway you played was not in play (it remained in the Supply where Captain played it from). So the second Highway gives you +1 Card and +1 Action, but doesn't provide cost reduction.