I have the very same problem detailed here caused by the '$'-included in the \Sexpr command-breaking the syntax highlighting of Emacs. Unfortunately no definitive solution has been proposed yet.
Now I read a solution for a similar problem here that I am trying to adapt to my situation. The idea is to set \Sexpr as verbatim environment in Emacs' preferences.
I tried
(setq LaTeX-verbatim-environments-local '("Sexpr"))
but with no result.