You can also set it to other languages, variations on English, French and Spanish work on my computer. If the language has a beside it, then you're OK and Word should mark incorrect spelling as incorrect. If the language does not have a tick beside it, then it will simply ignore the spelling errors. All of the words in the sentence are correct, but it is not grammatically correct. Click on one of these and Word will replace the incorrect bit, and the sentence will now make sense.
Word is notorious for getting the grammar check wrong.
Most people would not consider that sentence incorrect, and type similar things all the time. It will then not mark that sort of grammar error incorrect in future. It also does not always recognise grammar errors. I do not really understand why. Finally Have a play around.