While the corn is grilling, mix the mayonnaise, lime juice, chili powder, cayenne, 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 or spoon 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 the finished cob to a serving plate. Lightly dust each cob with an extra pinch or two of chili powder, and serve them warm.