My language is Bulgarian. Apparently, under Windows Lyx only understands Latin characters. It understands English and the spell checking works for English, French, Spanish, German.
This is shown by changing language under Document -> Settings -> Language
If the word is in one of the mentioned languages, it immediately underlines the word and shows suggestions as it must. In other languages, as far as my experiments show - it doesn't.
If the word is in Latin and the language is set to - in my example - Bulgarian - the word is underlined as misspelled, but if a mistaken word is in Bulgarian Lyx ignores it.
Look at this:
Това е едно граматически правилно изречение с изключение на последна дма.
This is grammatically correct sentence with exception of the last wrd.
The English sentence is a translation of the Bulgarian one, both with the last word misspelled. Lyx correctly underlines the last word when the language is set to English and all the Bulgarian words - correctly too.
When set to Bulgarian, Lyx underlines all the English words and none of the Bulgarian. As if it doesn't understands cyrillic characters even if I believe all the correct packages are installed.
It works as it should on Linux, Fedora 29/30
My understanding it it somehow doesn't understand Cyrillic even if the relevant packages are installed. Or I'm doing something wrong.