Hi, Welcome to SitePoint!
I'm afraid you have not understood the purpose of the :active pseudo class. It only effects the anchor state in that brief moment that it is clicked, it has been confused with current page styling by many people.
Read through this recent thread for more explanations on it.
Selected or Active?
Your using a WP theme so it looks like they have already provided you with a class to target your current page styles with. In the html on your home LI you will see this class.
<li class="page_item page-item-12 <font color='Blue'>current_page_item</font>">
You will want to use it to target the current page Sub UL to be visible at all times.