How to configure Context to set active on Menu item
The only reason I can think of is that the context modules is actually adding the trail classes but the theme that you are using is not using them. 

You can verify this in two ways,


Change the theme back to Bartik and see if it works. 
Checkout the template file of your theme, print the variables that are passed to theme_menu_item in your template.php file


If the problem is your theme, then you will need to override the theme_menu_item accordingly in your theme.