Vasileios,
I happened to muck around with user language settings today and noticed some strange things. Firstly, according to the inline help information on the interface where you change the user language, this only affects which language the user receives emails in. So perhaps the behaviour you're seeing is by design.
Secondly, I set up a site with default Spanish language and nothing I do seems to cause the admin screens to be displayed in Spanish, except one item. The Spanish files claim to have been imported. It's quite weird but I don't really have time to investigate it because I don't need it right now.
Anyway I'd be interested to know what happens in your case.
Regards, Fletch www.saltwebsites.com