First of all let me point out one fundamental principle of Drupal: Themes have the last word when it comes to overriding classes and outputing html. There have been some people who have posted issues related to the active-trail class getting removed from their links in the JQuery menu module. There are several reasons this may be happening, most of them are theme related. Before you post an issue about active-trails first try switching to the Garland theme and put the block in question in the left or right side bar. If you do this and the issue goes away then it is a theming issue. If it it is a theming issue there is no point posting your issue to the queue. I cannot and will not rewrite the module to try to override theme issues. Themes are supposed to have the last word, and I have no intention of changing that. You can however hire me or someone else to get your theme issue worked out.
Don't put the JQuery menu blocks in the primary links region. This is not a drop down menu folks, these menus are intended for vertical menus such as the left or right side bar. Also the primary links region in many themes outputs the html through a special theme function hence stripping the active-trail tags.
The other possibility is that you may be experiencing a module incompatibility. In such a case if you can pinpoint what module doesn't play nicely with it then perhaps we can make adjustments. Perhaps does not mean a guarantee. I will only make changes to the module if it can be clearly demonstrated that the JQuery menu module is at fault by the incorrect handling of code. I have this module installed on a number of sites using a number of different modules and themes and I don't have any issues with the active-trail. I can't fix issues that I can't reproduce on my environments.
Finally, take a look at the demo that I run on http://www.pixelclever.com/html-to-drupal-theme-conversion for proof that it works if you don't have theme issues. If you go to this page and look at the menu to the right which reads "What I do" you will see that the menu is open as it should be. Navigate through the items in the menu and and verify for yourself that it works.
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PixelClever commentedPS. If it does turn out that you find something in the JQuery Menu module that you think is responsible for causing a problem by all means create a patch and I will commit it if the logic is solid.