I’m having a similar issue and I’ve scoured the support and documentation sections and can’t find the exact answer.

I have a mega-menu where one section uses submenu’s, e.g.:
what we do > be found > brand building > content marketing

When I’m on the “what we do” page, the main nav is highlighted/indicated as expected.
However, when I navigate to “be found”, “brand building”, or “content marketing” under the “what we do” mega-menu – the main nav item “what we do” is no longer highlighted / does not have an indicator displayed.

My site is currently only on my local box but I’d be happy to provide you with screenshots.