This highlights the first bar. You still need ChartStyle for the legend to be correct.
data = {{0.25, 0.4, 0.15}, {0.172, 0.25, 0.18}, {0.101, 0.26, 0.17}}; Set the three GrayLevels here:
levels = Map[GrayLevel,GrayLevel /@ {0.9, 0.5, 0.1}];; Change the Edgeform to change the appearance of only the first bar.
styles = {{{EdgeForm[{Thick, Black, Dashing[0.05]}], levels[[1]]}, levels[[2]], levels[[3]]}, levels, levels}; Plot:
BarChart[MapThread[Style, {data, styles}, 2], BarSpacing -> {0.15, 1}, PlotTheme -> "Business", ChartLegends -> {Text[Style["BXE", 12]], Text[Style["CXE", 12]], Text[Style["TQ", 12]]}, ChartStyle -> levels, LabelingFunction -> Above, ChartLabels -> {{"Large", "Small", "Overall"}, None}, BaseStyle -> Directive[FontSize -> 11], PlotLabel -> Style["Volume", FontSize -> 15]] 