Update:

I don't have a solution yet, but here is my attempt to figure out where this problem comes from. I may be (probably am) wrong; I am new to ConTeXt and not an expert on its internals. But I'll toss this out to see if anyone is interested.

When \startcolumnset is called, it seems to take a "snapshot" of the state of the layout (via setuplayout). However, layout can change, even without \setuplayout being explicitly called again, as in the case of header state=high (which modifies the layout of  the first page only). By visual inspection, it looks like the columnset output routine continues to use the page dimensions from the first page on subsequent pages. Since the first page has no header space, height of the text box on the first page will be larger than on subsequent pages. Therefore, applying the first page height on subsequent pages will result in text that runs over the footer area.

To see if a new call to \startcolumnset would fix things, I tried to find a way to automatically do \startcolumnset again at the beginning of the second page. A crude hack, using the startpostponing mechanism:

\startpostponing[2] % do this block on the second page
\unexpanded\stopcolumnset\unexpanded\startcolumnset[name] % manually end the current columnset and then start it again.
\stoppostponing

This unfortunately results in a blank page after the first page; however, the rest of the pages after that blank page have correct columnsets and footers.

So a real solution to this problem could perhaps be done in two different ways -- the difference being where in the ConTeXt code it is implemented:
A. The columnset output routine "listens" for changes in the layout state and reloads or adjusts itself when layout state changes; or,
B. Any change in layout state passed to the output routine triggers a re-call of the \startcolumnset macro.

These are probably oversimplified, but I hope someone who understands the columnset output routine can see what I am trying to get at.
--
Peter Park Nelson
peter.park.nelson@gmail.com