That has already been reported on the pgfplots bugtracker
https://github.com/pgf-tikz/pgfplots/issues/350
and here on the mailing list
https://mailman.ntg.nl/pipermail/ntg-context/2020/097514.html
Here I quote Aditya's workaround:
I have no clue what pgfplotsbinary.data.code.tex does, but
I'm testing LMTX with documents I've written for ConTeXt MKIV. I've copied
the third party module folder from ConTeXt and some of them work like a
charm (t-vim, TikZ, etc.). Nonetheless, I find PGFPlots just doesn't work.
I've tried with the minimal example:
\usemodule[pgfplots]
\starttext
Hola
