You are wrong, I just said that. Skype, for instance, works. Cocoa applications support these context menus. If you can't do this then that means that the application doesn't use Apple's Cocoa APIs or that the option was removed for something else. I used Adobe Reader a couple of years ago for the last time and I distinctly remember that it had a pretty bad UI that didn't feel very Mac-like. It wouldn't surprise if it doesn't work.
Firefox seems to have an extension for this that adds the menu item back:
https://addons.mozilla.org/en-US/firefox/addon/look-up-in-dictionary-7261/.