You need to have the appropriate proofing language applied to your text. One of the simplest ways to do this is to use styles that have a language component.
Using Styles for Proofing Language Settings
You can assign keyboard shortcuts to styles, as well.
Assigning Keyboard Shortcuts in Microsoft Word
While Word does have a setting to automatically detect language, I do not recommend using it. Word often guesses wrong with this setting.
Note: This is not the place to make suggestions to Microsoft. It is a user-to-user support forum. If you want Microsoft people who can make changes to see something, use the Feedback mechanisms.