Word stores the text language as part of the formatting, effectively, and it can change mid-sentence. Spell check wouldn't really work otherwise in multi-language documents. So you probably have to select everything once and set your preferred language.

It also gets quite clever with detecting repeated formatting. Just like Word can notice when the part up to a colon of each enumeration item is bold and does this automatically, it can notice that the second column of a table is always the same language and can even change the keyboard layout accordingly. But overriding the language once for everything should stop all that, still.