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 chapter

I.I Title of section

I.I.I Title of subsection

Now everything is in Roman !