1. Divide the cheese equally among the radicchio leaves, placing it in the center. Fold one edge of each leaf over cheese, then roll up gently to enclose. Wrap a slice of pancetta around each roll and secure with one or two toothpicks (it's okay if pancetta tears a little).
2. Lay radicchio rolls on an oiled barbecue grill over medium-hot coals or medium-high heat on a gas grill (you can hold your hand at grill level only 3 to 4 seconds); close lid on gas grill. Turn rolls as needed until pancetta is lightly browned and crisp on all sides, 5 to 8 minutes total.
3. Arrange rolls on a platter and drizzle with vinegar. Serve warm or at room temperature.