To answer your first question, NO you do not always have to use a shimmery sparkly color. Matte colors can work also, but you have to make sure you use them right.
I personally believe that you should try not to have all shimmery colors or all matte colors on your eyes, but a mix. If you are using very sparkly shimmery shades on the lid and crease, you may want to try a matte color on the highlight. However, I would not recommend matte white as it can be very harsh. Instead, try a light golden shade or a shade that is a few shades lighter than your skintone. Apply it with a soft fluffy dome brush so it goes on very lightly and doesn't look too obvious.
If you are using matte shades or shades that have only a little shimmer, you can definitely work a sparkly highlight. I actually don't recommend white for this either (it just looks unnatural and harsh to me, when a highlight is supposed to be very natural and make you look brighter and more awake.) I would recommend any very light, shimmery shade, such as the Urban Decay shadow in Sin, a gorgeous light, shimmery champagne (pictured).
To answer the second question, I always do my highlight last, because if you do it first the darker colors may blend with it too much. I suppose that is also personal preferance though, try both ways and see what you prefer. Good luck