Highlighted weapons are free options.
As a support, Diona is typically used for three things: Shielding, Healing, and Cryo particle generation. Pairing Diona with Cryo damage dealers such as Kamisato Ayaka, Ganyu, and Eula allows you to funnel energy into them while providing them a shield. Weapons such as and greatly increase her potential as a battery.
Diona's Skill grants a Cryo shield which allows cleansing. Every time you swap characters with the shield up, it applies Cryo. This acts as a cleanse.
Full Stack HP% is recommended if you want stronger shields but a weaker heal. You can use Healing Bonus Circlet if you want a nice balance between the two.
Prioritise whichever your Diona is geared for (shielder or healer), if built for a balance between the two, level both equally.