AFAIK, the Kindle sample format doesn't support dictionaries. If you download a dictionary sample, it'll be saved as a regular ebook without dictionary functionality.
You can check whether a book can be used as system dictionary by opening it with
Java Mobi Metadata Editor. If you open a dictionary with it and click the Language button, you should see three non-zero language code values, while regular books have only one. (I.e. the dictionary input and output language fields have a zero value.)