Choosing Dictionary.app spelling language
The Dictionary.app supplied by Apple only has English and Japanese, regardless of what language you set your OS to.  You can add modules as explained here:

http://m10lmac.blogspot.com/2011/12/more-dictionaries-for-dictionaryapp.html

Dictionary.app has nothing to do with spellchecking, that is done by other parts of the OS.  You can change the spellcheck to Spanish in Apple apps by going to Edit > Spelling and Grammary > Show Spelling and Grammar.