There is a setting for it but it doesn’t always work.

Source: https://divisoup.com/change-divi-active-menu-item-colour/

/* START change the active main menu item colour*/
#top-menu li.current-menu-item > a {
    color: #000 !important;
}
/*This will change the active main menu item colour when a submenu item is active*/
#top-menu li.current-menu-ancestor > a {
    color: #000 !important;
}
/*This will change the active submenu item colour*/
.nav li ul .current-menu-item a {
    color: #000 !important;
}
/* END change the active main menu item colour*/Code language: CSS (css)

Or all in one

/* START change the active main menu item colour*/
#top-menu li.current-menu-item > a,
#top-menu li.current-menu-ancestor > a,
.nav li ul .current-menu-item a {
    color: #000 !important;
}
/* END change the active main menu item colour*/Code language: CSS (css)