Hi Cosmin,
You will need to customize the associated plugin of the content you're filtering to achieve that.
I assume that you're using Virtuemart, you can see the selected filter is declared in this file:
/plugins/jamegafilter/virtuemart/layouts/default/filter-list.php
<div class="filter-current filter-values"></div>
To add it to above the toolbar, you will add above line of code to this file:
/plugins/jamegafilter/virtuemart/layouts/default/product-list.php
And customize style for it.
Hope this helps.