So, it is interesting and more complicated. The exact part:

\setupbackend
   [format=PDF/X-1a:2001,
    intent=Coated FOGRA39 (ISO 12647-2:2004),
    option=always,% for a much bigger document :-)
   ]

… seems to work on my Debian standalone ConTeXt installation (ok, I will
test it again but it objected nothing (about ICC not embedded) in yesteday
in Acrobat's preflight) but on my Win XP standalone one it doesn't work. I
have the profiles in the same directories, of course. On Win it can't eat
the comma, on Debian it can.

Although the advice:

\definecolor[cmykblack][k=1]
\setupcolors[rgb=no,cmyk=yes,intent=overprint,textcolor=cmykblack]

… seems very logical, it doesn't work, preflight still sees the text like a
greyscale.

Thanks, Honza