Assuming the order of the selection has a significance, I would show that difference in significance by increasing the brightness or contrast.
However if the difference in selections in all those areas are just as important I wouldnt change a thing.
Heres a real world example
select state- New York, select city -> NYC , select street-> 6th avenue
I would have the select street a different or more extreme contrast difference than select city. Because its kind of like a stack and thats the way you would bubble off or drill down. The most signficant selection is the most important.
Where if your selections where.
Select Pants -> Zubaz, Select Shirt -> Football Jersey, Select Shoes -> Jordan Sneakers
I would leave all of them the same because the selections are all just as significant to the user. One isnt more or less important. And the order of operations doesnt matter.
In short differentiate the selections if certain ones are deemed more important or the order of selections matters.