The thing is, the language setting is like font formatting that you can't see, but the spelling checker does see it. When you paste text, it carries this attribute with it. I don't know if even pasting as plain text strips it.

Everything to help you is in Mastering the Spell Checker.

Except perhaps: Turn-on-automatic-language-options
With Automatic language detection turned on, Word sometimes erroneously identifies something as being in a different language.

You may want to adjust your macro to set the language for the pasted material.