It should work. I do not know why it is not working for you, unless you are using .NET 3.5 medium trust hosting in which case the theme.skin settings are not being picked up.
For example if you look at this page on our demo site and right click the menu and choose inspect element you will see that it has the css class "active" on the menu item for the selected page and on the parent menu item though the css does not make it stay open, it is a horizontal menu that opens on mouse over.
Are you sure you are really even using FlexMenu? Make sure your layout.master file has this:
<portal:sitemenu id="SiteMenu1" runat="server" useflexmenu="true"...