I did some debugging and it seems that we are affected by this Electron bug: [Bug]: Renderer spellcheck API does not work on Windows · Issue #28684 · electron/electron · GitHub
As a workaround, you may try to set the spellcheck to a different flavour than your system language. E.g. when your system is configured to use “en-US” as a language and provides its dictionary, then “en-GB” might work.
I will monitor the issue and hope that a solution is possible in the future. For now, there is not much that we can do on the side of Mailspring.