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=.4\textwidth,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