Two things make this grilled watermelon amazing. High heat draws out moisture and intensifies watermelon's sweetness, and the rub creates additional caramelization for even deeper flavor notes.
In a small bowl, whisk together sugar, lemon zest, cayenne pepper and salt. Pat watermelon wedges dry with paper towels; rub both sides with sugar mixture.
Grill wedges, covered, over high heat until bottom is caramelized and grill marks appear, about 3 minutes. Flip and grill 3 minutes more.
Arrange baby arugula on a platter (or divide among four plates). Top with grilled watermelon, blue cheese and hazelnuts. Drizzle with balsamic vinegar and olive oil. Season with salt and black pepper.