The example fails because in the MkIV version the command is applied to each table entry and not to the whole row as it was in MkII.
\usemodule[database]
\define[1]\MyCommand
{\framed{#1}}
\defineseparatedlist
[PriceTag]
[separator={:},
command=\MyCommand]
\starttext
\startPriceTag
Finnish thing:English name:2.15 eur:Finland
Pieni nyörihaarukka, koivua:Small lucet, beech:6 eur:xxx
\stopPriceTag
\stoptext
BTW: In MkIV \define\…{…} == \unexpanded\def\…{…} and the old \def\…{…} == \defineexpandable\…{…}
Wolfgang