You would sometimes call this the selected value or active selection. Either way, it's up to the program in question. In Windows, when you tab around in Explorer, for example, it very well shows you the selections that are being made by either highlighting them or placing a border around the active selections. If you are not seeing this, check your display options, and turn everything on. However, the default behavior in Windows should be unchanged.
With custom built applications and programs, it can very much be at the discretion of the software developer. If it was developed in such a way that it doesn't use Visual Basic style GUI, and instead uses its own, custom coded interface, you could run into a problem. But in Windows you're...