I have found how to get the conversion of numbers in references (the 'prefixconversion' key in '\setupreferencestructureprefix' command), but I still do not know how to change their style. I have tried the 'style' key and 'prefixstyle' key but without success.
After checking in ConTeXt source, I have realised that there is no such 'style' key for the '\setupreferencestructureprefix' command. Is there another command to change the style? If not, it would be great if Hans could add that feature.
Minimal example:
\setupreferencestructureprefix[section][default][%
prefixconversion=Romannumerals,
prefixstyle=\bf]
\starttext
\input knuth (Cf. \in{section}[mysection].)
\section[mysection]{My section}
\stoptext