\setupinteraction[state=start]
\setupinteractionscreen[option=bookmark]
\placebookmarks[section]

\startbuffer[doc]
<?xml version "1.0"?>
<document>
    <section title="First">
        text
    </section>
    <section title="Second">
        text
    </section>
</document>
\stopbuffer


\startxmlsetups xml:name
    \xmlsetsetup{\xmldocument}{document|section}{xml:name:*}
\stopxmlsetups
\xmlregistersetup{xml:name}

\startxmlsetups xml:name:document
    \xmlflush{#1}
\stopxmlsetups

\startxmlsetups xml:name:section
    \startsection[title=\xmlatt{#1}{title},bookmark=\xmlatt{#1}{title}]
    Section
    \stopsection
\stopxmlsetups

\starttext
\xmlprocessbuffer{xml:name}{doc}{}
\startsection[title=Third,bookmark=Third]
Section
\stopsection
\stoptext
