You need to do this in two steps. You got the first one right by setting
The problem comes when you apply the highlight: you cannot combine the commands the way you are trying to.
As Matt pointed in his comment, the highlight group responsible for
listchars characters is
set listchars=tab:→\ ,space:·,nbsp:␣,eol:¶
highlight SpecialKey ctermfg=blue ctermbg=red guifg=blue guibg=red
As you can see, I separated the settings in several lines and expanded them to their long name for more clarity, which is arguably more appropriate if you want to put these lines in a