For time being dictionaries are co-located in the same folder with control that contains grid to be spell checked.
Desired location would be something like "~/Dictionaries/English/..."
In both approaches, dictionary files are not found - words "one two" are not found in dictionary.
Please take a look at the demo project (ASPxSpellCheckerDemos) and its source code, available at:
C:\Users\Public\Documents\DevExpress 2010.1 Demos\Components\ASPxSpellChecker\CS\ASPxSpellCheckerDemos\
If you set paths as done in the demo project, everything will work properly.