I had no luck with page floats in columnsets; according to the manual they should work.
Hraban
\setuppapersize[A5,landscape] \useMPlibrary[dum] \definecolumnset[Two][n=2]
\starttext \startcolumnset[Two]
\dorecurse{5}{1\recurselevel\samplefile{lorem}\par}
\startplacefigure[location=page,title={my caption}]% \externalfigure[dummy][width=2\textwidth,height=.95\textheight]% \stopplacefigure
\dorecurse{5}{2\recurselevel\samplefile{lorem}\par} \stopcolumnset
\stoptext