This is currently not possible (2.5.2). Adding a class to the last clicked menu item would be the trivial solution, but there are several other cases to consider.
Future developments might add other variations in navigation possibilities and these also have to be taken into account.
To sum it up, this is one of those changes that seems trivial at first but hits a lot of use-cases and working through them all properly is decidedly non-trivial.
I'd suggest adding a feature request in MXDN for this.
In addition to this i've an example:
Toplevelitem:
We want to highlight the parent of the child menu item and at least the submenuitem. We're already using the titlepath as breadcumbs, but highlighting the menu items is really a requirement. Any ways to fix this? I couldn't find a specific css-class for this behavior.
Can you not enable breadcrumbs - I have done it for my theme works like a treat