This is still a recognized command (for legacy purposes), but should be avoided. See Does it matter if I use \textit or \it, \bfseries or \bf, etc. and Will two-letter font style commands (\bf, \it, …) ever be resurrected in LaTeX?.
TeXstudio does allow you to add commands that are not recognized to its list of known control sequences. Under Options -> Configure TeXstudio... check Show Advanced Options and add \rm to the list of Additional Commands as part of your Custom Highlighting:

Your document syntax highlight should change from

to

Another approach (perhaps better for legacy documents) is to replace any two-letter font style commands with their updated counterparts:
\renewcommand{\rm}{\rmfamily}
\renewcommand{\it}{\itshape}
%...
This renewal will also be picked up by TeXstudio.
\rmis a standard macro -- at least I never heard if it. – Peter Grill Sep 29 '12 at 22:56\rmhas been declared obsolete some years ago and it's best not to use it, just like the companion commands\it,\bf,\sfand\tt. – egreg Sep 29 '12 at 22:57\rm(it has been deprecated since 1993) and get one more actually describing LaTeX2e. – Martin Schröder Sep 29 '12 at 23:35