MacOS – Finnish spell checker for Pages.app ’09

It looks like it's indeed a hole in iphone's safari. I'm not sure if it was always like that or if it's a new undocumented feature that might soon go away.

But meanwhile you can try using Inspell if you're willing to jailbreak. There's just no other way to fix such an issue: it's either apple or cydia.

Another option, if the error occured only in safari, is using another browser. But that doesn't seem to be this case.

You can't set it per application, but you can set it to support multiple languages and detect them automatically.

To do so (in Lion - although I've been using this at least since Leopard), open System Preferences, go to Language & Text, select the Text tab, set Spelling to Automatic by Language, then open the Spelling dropdown again, select Setup... at the bottom and check the languages you want to enable.