Light a grill. Rub the chicken with the canola oil and season with salt and pepper. Grill over moderate heat, turning occasionally, until browned and cooked through, about 30 minutes.

Meanwhile, in a medium saucepan, melt the butter. Add the onion and cook over moderately low heat, stirring, until softened, about 5 minutes. Add the plums and cook over moderately high heat, stirring, until softened and nearly broken down, about 5 minutes. Add the red pepper jelly and mustard and bring to a boil, stirring until the jelly is melted. Carefully transfer the mixture to a food processor. Add the water and puree until smooth. Season the plum sauce with salt and pepper.

Liberally brush the plum sauce all over the chicken and grill, turning the drumsticks occasionally, until they are lightly caramelized, about 5 minutes. Serve the drumsticks with any remaining plum sauce at the table.