See if there are more settings under something like File -> Preferences. Also make sure you aren't changing settings for one document instead of the global default.

I think you can also train spellcheckers -- when it's going through the check, if it catches 'colour' you can tell it 'add to dictionary' and it won't flag that word as incorrect anymore. (If you're using auto-replace, aaugh, turn that off. It's more trouble than it's worth.)

I'm using OpenOffice and it does let me use Canadian spellings successfully.