From TeX.SE, the following solution works; however, it doesn't feel like the "ConTeXt way":

% SOT

\setuplocalboxes[leftmargin][
    style=\bfd,
    color=darkred,
    distance=0pt,
]

\unprotect
\define\quoteinitial{%
    \futureexpandisap“\quoteinitial_true\quoteinitial_false%
}

\define\quoteinitial_true{%
    \localmargintext[leftmargin]{“}%
    \expandafter\placeinitial%
    \gobbleoneargument%
}

\let\quoteinitial_false\placeinitial
\protect

\starttext
    \quoteinitial “We held ConTeXt in high esteem.” \samplefile{bryson}

    \quoteinitial We held ConTeXt in high esteem.   \samplefile{bryson}
\stoptext

%EOT

Any suggestions for how to improve it?

See also: https://tex.stackexchange.com/q/722275/2148

Thanks again!