I think you are using the wrong menu type in your extra menu shortcode.
You are using horizontal, which only has minimum styling. You need to use standard in order to pick up all the styling options.
[extra_menu menu_name='YourmenuName' menu_style='primary' menu_type='standard']
If you are purposely not using standard, then you can add current page styling to the basic horizontal menu with the rule below in Main Options > Fonts & Custom > Custom CSS Rule box
.wvrx-horizontal-menu .current_page_item > a {background-color:red !important;}