Spell checking question

I am using a recently acquired Word 2007 in Windows 7. I am not sure if
this is a bug or if I am doing something wrong.

The document I am writing includes numerous phrases in French which the
spell checker obviously flags as misspelled. If I right click to correct
the spelling, one of the options is "language" and if I select that and
click on French, word still finds it misspelled, even though on
re-checking French remains selected. If on the other hand I instead
select the phrase and then "Set language" - this time from the ribbon -
then Spell checking works correctly for that French phrase.

Does the choice of Language in the right mouse click not work or am I
misunderstanding its function?

Thanks. Jeff