What is the full message? Do you have a screenshot?
If it mentions that the language configuration is not supported, that usually indicates that your Windows display language does not match the language of the speech recognition engine you're using.
When training the speech recognition system, the Windows display language must match the language of the speech recognition engine you're using (this is a Windows restriction, not specific to VoiceAttack).
After performing the training, you can switch back to your normal display language.
Speech recognition itself can work with mismatching display and engine languages, it's just relevant when making certain changes to the configuration (like training).