There's another explanation and that is that the style used to type the message is formatted with the no-proofing option. With a new message open Format Text, Right click the Style name in the quick styles group (probably Normal) and then Modify > Format > Language and ensure that the 'Do not check spelling option' is unchecked.

If that's not it, check File > Options > Proofing > Custom dictionaries and there you will find listed all the custom dictionaries in use. They are language specific and all that are checked are in use when spell checking text of the appropriate language. Words may be added only to the default dictionary.

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Graham Mayor - MS MVP (Word) (2002-2019)
Visit my web site for more programming tips and ready made processes www.gmayor.com