The default (highlighted) button should be settable via the bit flag in the second argument. But no matter what is set for that argument, the first button is always highlighted.
I used the following script to test:
(try uncommenting the line with the argument to test and commenting out the others)
import rhinoscriptsyntax as rs
"""
| 0 Display OK button only.
| 1 Display OK and Cancel buttons.
| 2 Display Abort, Retry, and Ignore buttons.
| 3 Display Yes, No, and Cancel buttons.
| 4 Display Yes and No buttons.
| 5 Display Retry and Cancel buttons.
| 16 Display Critical Message icon.
| 32 Display Warning Query icon.
| 48 Display Warning Message icon.
| 64 Display Information Message icon.
| 0 First button is the default.
| 256 Second button is the default.
| 512 Third button is the default.
| 768 Fourth button is the default.
| 0 Application modal. The user must respond to the message box
| before continuing work in the current application.
| 4096 System modal. The user must respond to the message box
| before continuing work in any application.
"""
msg="This is a test message. Please press a button"
choice=rs.MessageBox(msg,3)
#choice=rs.MessageBox(msg,3+256)
#choice=rs.MessageBox(msg,3+512)
if choice==6:
print ("You pressed Yes")
elif choice==7:
print ("You pressed No")
else:
print ("You pressed Cancel or Esc")
It actually looks like this has never worked correctly, it behaves the same in my Rhino V6, 7 and 8. 