Preheat a grill to high. Arrange corn on the grate and grill, turning every couple minutes, until the kernels are charred and softened, about 8 to 10 minutes total. Try to grill the corn hard and fast, to get a quick char without overly cooking the corn. Remove corn from the grill. Once cool enough to handle, remove the corn kernels from the cobs. And then scrape the cobs with the backside of a butter knife to release the pulpy corn milk - this starchy liquid will add more creaminess and fresh corn flavor to the dish. Discard the cobs.

Now heat the grill to medium (or use the stovetop). It is very important to get the heat lowered after the first step, so the butter doesn't burn. Heat a large cast-iron skillet over the grate. Once hot, add the butter to melt, then whisk in the flour until combined and foaming, about 1 minute. A flat whisk works great for this.

Gradually whisk in the milk and cream cheese and cook, whisking constantly, until smooth and thick, 2 to 3 minutes. Stir in sugar, followed by the corn kernels, salt, black pepper, and cayenne. Cook, stirring occasionally, until heated through, about 1 to 2 minutes.