This code :
\setuplabeltext[chapter=CHAPITRE~]\definestructureconversionset[mathieu][numbers,Romannumerals][numbers]\setuphead[chapter][sectionconversionset=mathieu]\setuplist[chapter][label=yes,width=7em]
\starttext
\placecontent
\chapter{Title of chapter}\section{Title of section}\subsection{Title of subsection}
\stoptext
results in :
CHAPITRE I Title of chapterI.I	Title of sectionI.I.I	Title of subsection
Now everything is in Roman !

Mathieu