I don't think that 'sidebar' has much to do with it. The part that is
not working as expected is the 'mysidebar', which is not getting the
'outer' location, nor the 'none' captioning that I get with
placefloat.

setupfloat[mysidebar][leftmargindistance=-.25in,rightmargindistance=-.25in,outer,none]

defineframedtext [sidebartext]
[width=.4textwidth,bodyfont=small,corner=round,background=color,backgroundcolor=lightgray,align=flushleft]

starttext
This is a bit of text
placefloat[newsidebar][leftmargindistance=-.25in,rightmargindistance=-.25in,outer,none]{}{
startsidebartext
This is a short sidebar
stopsidebartext
}
And something to follow.

A bit of text
placemysidebar{}{
startsidebartext
This is a short sidebar
stopsidebartext
}
And something to follow.

stoptext