States in Slide Master - selected/visited not working as anticipated

Your buttons are changing to Selected when clicked. You don't see that happen, because the buttons restart at Normal when the program goes to a new slide.

• You can test that by putting a button on the Master that doesn't jump to another slide. You will see that button change to Selected. But when you jump to another slide, it will reset. 

There are pros and cons with resetting buttons on new slide and with not resetting buttons on a new slide. For whatever reason, Storyline is set up to show the buttons based on the state they were in on a given slide. 

In my quick testing, if I set the slides to "Resume saved state," the Master buttons would be in the Selected state when I returned to the slide where I clicked that button. However, that's quite confusing, so I wouldn't do that.

You could use variables to track which buttons have been clicked, and use conditional triggers on the Master to change the state of the buttons based on those variables. If you do that, it'd be better to use custom states. (The built-in programming of Selected and Visited is apt to interfere with triggers using those states.)