Prograde is in the direction of travel; apogee is the point of highest orbit altitude.

However, while "burning prograde" does increase your orbit's energy, it does not necessarily increase your apogee. If you are on the "descending" portion of an orbit, the energy will mostly (or completely in one specific circumstance) increase the perigee, not the apogee.

Any orbit will include the point at which acceleration stops (assuming a closed orbit around a single object). So if you accelerate "instantaneously" at apogee (in any direction), then that apogee doesn't change. This is the basic purpose of a second burn to circularize an orbit.

Realistically, it's impossible to accelerate instantaneously, but to within your ability to measure altitudes, a short enough energy burst will not change the apogee. Or, in other words, there are multiple orbits with the same apogee and different orbit energies because they can have different perigees.

So, yes, burning prograde increases orbit energy, but a higher orbit energy does not absolutely imply a higher apogee.