Here's the scoop: Mail's message composer (draft messages) is currently a pretty big mess. In lots of different ways. And that's just the tip of the iceberg.
Interactive features should work well in Mail with Spell Catcher X 10.2.1 and later. But there's more to this sad story...
Check Selection and Modify Selection: Not good. Mail's Services support is quite broken. To top it all off, draft Mail messages, when saved to disk as RTF or RTF with attachments, or copied to the clipboard, well, don't even remotely preserve the contents of the message you're composing. If you have attachments, say good-bye to them. They don't get saved to disk or written to the clipboard properly.
In fact, it's a simple matter to illustrate this to yourself (you'll crash the Finder). Create a new message in Mail, drag in an image (jpeg, png, pdf, whatever) attachment. Select All, Copy, switch to the Finder. Choose Show Clipboard from the Edit menu. Crash. Not good.
There's more, just go search the various Mac troubleshooting sites and Apple's discussion boards (and our own forums!) to see the kind of troubles that are waiting for you to run into.
For now, if you're not an interactive checking kind of person, we recommend using the Mac OS X Spelling Panel in conjunction with Spell Catcher X in Mail. Tread carefully when using Check Selection or other Services. This stuff just doesn't work properly yet in Mail and other apps that use the same text editing view. We sure hope Apple fixes this sooner than later.