Peter Kuhn has an article demonstrating how to make an auto-complete box that highlights the matched parts of potential hits.
Source: Mister Goodcat
There is no built-in feature for this in the AutoCompleteBox and I didn't have a simple answer to that question. However I found it an interesting topic and a useful feature, so I decided to put some research in it as soon as I have some time. As it happens, I just had that time, and the result is this blog post :-).