While grilling your corn, prepare the chili-mayo sauce and Cotija-cilantro blend. In a small bowl, combine the mayonnaise, lime juice, chili powder, optional cayenne, and salt. Stir until combined. In a separate bowl, mix the cheese and cilantro. Set both bowls aside.
When your corn is ready, brush the mayonnaise mixture all over one ear of corn. Over a plate, sprinkle the Cotija mixture, turning the corn as necessary (it’s going to be a little messy, no way around it!). Place the finished cob on a separate serving plate. Repeat for the remaining corn, using the cheese in the bowl and the excess on the plate as needed.
Sprinkle a pinch or two of additional chili powder lightly over the corn. Serve warm.