Thank you Wolfgang, it does what I want.

However, I realised after trying the following code inside environments
(frontmatter, bodymatter, backmatter and appendices) that the default
behaviour is WRONG because the conversions of prefixes are not always
automatic.

For instance, in the appendix environment, by default chapter numbers are
Characters and every prefix representing a chapter number is also a
Character (section prefixes, caption prefixes and so on). Now if you decide
to switch chapter numbers to Romannumerals, you will get something totally
inconsistent if you don’t do many conversions manually:


*\startsectionblockenvironment[appendix]*
*    \defineconversionset[romannumeralsconversionset][][R]*
*    \setuphead[chapter][sectionconversionset=romannumeralsconversionset]*
*\stopsectionblockenvironment*

*\starttext*

*\startappendices*
*\chapter{Cool}*
*\placefigure{A cow}{\externalfigure[cow]}*
*\chapter{Cat}*
*\section{Mouse}*
*\section{Dog}*
*\placefigure{A cow}{\externalfigure[cow]}*

*\stopappendices*

*\stoptext*


which gives:


*I Cool*
*[figure] Figure I.I Cow     % <-- Here the prefix conversion from 'A' to
'I' works.*

*II Cat*
*B.1 Mouse                     % <-- Here the prefix conversion from 'B' to
'II' does NOT work.*
*B.2 Dog                         % <-- Here the prefix conversion from 'B'
to 'II' does NOT work.*
*[figure] Figure B.II Cow   % <-- Here the prefix conversion from 'B' to
'II' does NOT work (because of the presence of the 2 sections B.1 and B.2
where the prefix conversion already did not work I think, so here is the
BUG).*


Extra: is it normal that caption NUMBERS (not prefixes) are converted to
Romannumerals by default INSIDE the appendix environment (outside they are
usual numbers)? ('Figure I.I Cow' and 'Figure B.II Cow' instead of 'Figure
A.1 Cow' and 'Figure B.2 Cow'.)