Some words that I add to the custom dictionary are still underlined in red as spelling mistakes.

 

For example:

 

คริปโทเคอร์เรนซี (cryptocurrency)

ดิจิทัล (digital)

 

Here they are in the custom dictionary:

 

 

And here is the spelling checker saying they are not in the dictionary:

 

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I have the proofing language of the document set to "Thai" and in proofing options I have "Suggest from main dictionary only" deselected.

Looks to me as if those dialogs are actually saying that คริป and ดิ are not in the dictionary, not that คริปโทเคอร์เรนซี and ดิจิทัล aren't. In other words it's a word boundary issue. I didn't know MS Word did Thai spellchecking at all. I would have assumed not because of the difficulty of identifying the word boundaries. What happens if you insert a zero-width space after each word?

Thai spell check works quite well on the whole. See sample text below showing only a few words that MS Word thinks are spelling mistakes.

 

I tried messing around with zero-width spaces (MS Word: no-width optional breaks and no-width non breaks) as suggested, but that didn't help.

Looks like it doesn't check the custom dictionary until it's decided on the word boundaries. It finds โท in the main dictionary so looks for คริป and draws a blank. It doesn't find any part of ดิจิทัล but still guesses that ดิ is a separate word. If you can't override this behaviour with spacing (so the program goes "this is a spaced document - no need to guess word boundaries") I suspect you're stuck with it. My version of Word does have a "Nonbreaking space" character, shortcut CTRL + SHIFT + SPC. It could be that the whole document has to be spaced to get it to stop guessing.