Is it possible that your main file of your document is a project?
When this is the case change this file to a product and all subfiles
into components.
Yes, that was the problem. And I can see there are a few other things I need to change, but the project was nowhere near finished anyway, and at least I now have output.
By the way, shouldn't there be an error or at least a warning when ConTeXt can't produce output? At the very least, the log file should not report that a PDF file was saved when it was not. This seems like a bug.