While the corn is grilling, mix the mayonnaise, lime juice, chili powder, cayenne (if using), and salt in a small bowl until well combined.
In another bowl, stir together the Cotija cheese and chopped cilantro and set both aside.
Once the corn is charred and cooked through, use a brush to generously coat one cob with the mayo mixture.
Hold it over a plate and sprinkle the cheese-cilantro blend liberally, rotating to coat all sides, expect a bit of mess.
Transfer each coated cob to a serving plate, repeat with the remaining corn using any extra cheese mixture, and finish with a light dusting of chili powder before serving warm.
