Although Hans said that we don’t need ‘makempy’, I copied the whole code again for the sake of test.
For korean, use \setupbodyfont[unfonts] as Hans said.
\setupbodyfont[unfonts]
% the following is copied from makempy manual.
\startuseMPgraphic{text}
graphictext \MPstring{string} scaled 4
withdrawcolor \MPcolor{blue} withfillcolor \MPcolor{gray}
withpen pencircle scaled 2pt ;
\stopuseMPgraphic
\startuseMPgraphic{number}
graphictext \MPstring{string} scaled 10
withdrawcolor \MPcolor{red} withfillcolor \MPcolor{gray}
withpen pencircle scaled 2pt ;
\stopuseMPgraphic
\def\TextCommand#1%
{\setMPtext{string}{#1}%
\framed
[frame=off,offset=overlay,height=3cm,width=\hsize]
{\useMPgraphic{text}}}
\def\NumberCommand#1%
{\expanded{\setMPtext{string}{\currentheadnumber}}%
\hsmash
{\framed
[frame=off,offset=overlay,height=3cm,width=\hsize]
{\useMPgraphic{number}}}}
\setuphead
[section]
[distance=0pt,
textcommand=\TextCommand,
numbercommand=\NumberCommand]
%\setuphead[section][style={\effect[outer]}]
\starttext
\section{First One}
This worked fine before. %이 전에는 잘 되었습니다.
\startformula
\int f(x) dx
\stopformula
\section{Second Two}
Who made the Euler font. x, y, z
$x^2 + y^2 = z^2$
\stoptext