Yeah the whole experience is a bit crap really.
They aren't allowed to distribute any dictionary other than en-US, but it would be so much better if it popped up and said "You're running Firefox with the en-GB/British English/real English localisation, do you want to install the dictionary for that locale?" then either automatically went off and downloaded it, or gave you a link to addons.mozilla.org to downloading it yourself.
IIRC there's a bug filed for it though, and the "OMGz0rz, annoying messages" crew would have a field day.