Blog (in this case Bajan Things) is highlighted with the page that has the summary of all the blogs listed. In this case http://www.bajanthings.com. Once you click on one of the entries as they are part of the blog I was expecting Blog (in this case Bajan Things) to still be highlighted.
I made it work here by have a default category and I set it as the Menu item. I was hoping for an easy way to do that:
Looks like its not possible without some css magic might be more than I can do.