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 !


Mathieu