Thanks for the reply Steve, I found a solution eventually I just forgot to come back and share it.
Here is my solution http://pastebin.com/DVEcci3e.
It’s a custom Walker that overrides the display_element function and adds the “parent” class to the current itrem if it has childens. I just added 2 lines ( 37-38 ).
It can be done via javascript easly, but I don’t like the solution as you get a flicker that moves the menu (in my case) as the code gets loaded/executed.
Cheers.