@snapsize – WP doesn’t do that. It will create a current-menu-item class if you click that particulat nav menu item, but beyond that, WP won’t link it.
This answer on stack exchange is a very good solution. I had to change $post_type = get_query_var('post_type');
to $post_type = get_post_type();
for the filter to function properly, but seems to work perfectly with that done. Obv change current-post-type to current-ancestor or whatever, I was just using it to keep items highlighted and it helped that it was that class. Won’t help with having a static page as an index, but you don’t really need one with post type archives available.