What is "state=start"?
The state property is usually associated with global properties of the document. Take for example
\setupinteraction[state=start]
This enables document interaction (hyperlinks). If you wanted to switch it off (maybe only temporarily), you'd use
\setupinteraction[state=stop]
Searching in the ConTeXt command reference for state = gives me 46 matches. Most of them are for some internal commands or on commands where state=start is the default.
In the second part you asked about what it means for state to be something other than start or stop. I could find this for \setuplayouttext where you have
state = start stop empty high none normal nomarking NAME
To be honest, I have no idea what these mean, because I have never used this command directly and there seems to be no documentation on the Wiki. There is documentation for \setupheader (for which I never used the state property) which is implemented in terms of \setuplayouttext.
Maybe as addition to Henri Menke's nice answer: There are cases where start and stop might not have the meaning you would expect, e.g. when talking about layers (from the wiki):
The available options for the "state" of a layer are:
- start: layer appears only on the current page
- stop: layer doesn't show up
- repeat: layer prints on all pages
- next: layer appears on the following page
- continue: layer appears on all pages except the first
In one of your comments you are asking about \setupcolors. The wiki page tells you that it accepts four states: local, global, start and stop. In MkIV colors are enabled by default and only accept the states start and stop (see setup-en.pdf and sources).
This is just to exemplify that you should always check (and never fully trust) the documentation. If something is unclear, just ask a question, there will be people helping you :)