Setting the Dictionary under the preferences has nothing to do with the language assigned to the text, it only makes a choice of which dictionary you will use among those installed on your system for a particular language. This is a common misconception.
The actual language assigned to text is set at the character level, which allows you to have multilingual text and use the correct dictionary for each language. That doesn't mean the hyphenation in Italian is not broken, but we don't hear reports about it on the forum, so it most likely is not. In any case, we're just users and can't fix anything. If you think there is a bug, file a report at Adobe - Feature Request/Bug Report Form
Slightly OT here, but funny:
I remember an ad by Agfa (UK) in an English newspaper in the 90s where Agfa wanted to claim: "Nothing escapes Agfa".
Unfortunately the upper half of the "h" wasn't visibly due to an error on the printing plate* rendering the "h" to something like an "n"… :-)
* also possible: a simple typo. On the keyboard the "h" is very near to the "n" (also on my German keyboard).