I get different behavior. When I set a page depth=1 for the sidebar navigation, the “current_page_item” CSS class appears only on those parent pages that have child pages. It does not appear on the child pages themselves nor on the parent that lacks a child page. I’m using WordPress 2.0x.
I suspect this is a bug. When I set the depth to either 0 or 2, all the pages have the “current_page_item” class.