SolidWorks API calls are not designed to mimic the GUI, only to perform the "end" task. In the case of the measure tool, the end task is simply to obtain a measurement.
If you want to create any custom graphics on the screen then you will need to insert those graphics "directly" using OpenGL (not a trivial task, unfortunately). There are no API calls that will assist you here.
In case Solidworks is listening, Given measurements, which are so common, and to not have provided appropriate feedback (such as the measurement lines) is a strong indication that Solidworks programmers have very little experience with using Solidworks. The challenge for the API programming department is to get a little experience with actually using Solidworks. It won't be long before they will realize that without appropriate feedback, measurements aren't work the trouble to click the mouse if there isn't some confidence that the proper points have been selected.
Keith, thank you for your feedback.