Yes, this seems to be a bug in the dictionary used by Acrobat oor lack of a feature.
The problem doesn't manifest if you spell, for example : THEMselves. This is still incorrect , since the checker should catch that a whole word like "themselves" should'nt by half upper case and half lower case.
However, if you spell "THEMself" the dictionary used by the spellchecker will catch this, but it will not if you spell the same word in upper case: THEMSELF.
This is happening on my end even with all my latest updates applied to Acrobat and the OS.
The Adobe Acrobat or Reader doesn't have this built-in capability I'm afraid.