Nav style for current page with custom post type

That’s normal because projects CPT posts are not child items of Projects page. Projects page is just to display project CPT posts.

Now how to highlight Projects page when viewing single project.
That’s where body classes comes handy. You can use body classes to highlight and unhighlight a menu item based on the page, cpt or section you are viewing.

For example if your post type is project and menu item id for Projects page is 26 and Blog page menu id is 27. Then you can highlight menu items like this.

body.single-project div.nav ul li#menu-item-26 > a{
    border-bottom: 2px solid #fcbf32;
}
body.single-project div.nav ul li#menu-item-27 > a{
    border-bottom: 0;
}

This will unhighlight blog menu item on projects single posts and highlight Projects page. You can apply same rules for other items too.