I had a similar problem with math fallbacks (no errors, fallbacks not used) and just found a solution.
Please find a small example below.
I don't understand why we need the line \definefontfamily, but it's necessary for the fallbacks to work.
Also, it stops working when I do \setupbodyfont[mainface,rm].
\definefontfallback[cal-fallback][name:modern][uppercasescript,lowercasescript]
\starttypescript[mainface]
\definetypeface[mainface][rm][serif][palatino][default]
\definetypeface[mainface][ss][sans] [modern] [default][rscale=1.075]
\definetypeface[mainface][tt][mono] [modern] [default][rscale=1.075]
\definetypeface[mainface][mm][math] [palatino][default][fallbacks=cal-fallback]
\stoptypescript
\definefontfamily[mainface][math][]
\usetypescript[mainface]
\setupbodyfont[mainface]
\starttext
{\rm \input ward }
{\ss \input ward }
{\tt \input ward }
Should be Palatino: $x + y$
Should be Latin Modern: ${\cal I}$ $\mathcal{I}$ $\mathscr{I}$
\stoptext