So I have experimented with tunnels and I get this no connection symbol or something. I kept dismantling and rebuilding the highway but unfortunately it still gets the sign. How can I fix this?
The sign means there is clash in the directions of the segments. The direction of the highway is decided from the starting point of the road tool. To change the direction on a segment, just use the replace tool, hover the tool on the affected segment (it will show reddish as it was unable to do actions) and right click. Right clicks are toggles, so each right click will change the direction of the segment.
It's the same if you want to change the direction of a one-way road.