Prepare a medium-high gas or charcoal grill fire, or heat a grill pan over medium-high heat until hot.Cut the romaine and radicchio in half through the root ends. Rinse the leaves and dry well.
Pour the oil into a large baking dish. Dip the lettuces cut side down in the oil, swirling to coat well; then place them cut side down on the grill. Grill, covered, without turning, until charred and wilted in spots, about 4 minutes. Transfer to a cutting board. Remove the cores and chop the lettuce into bite-size pieces.
Press the garlic and the anchovy through a garlic press into a large salad bowl (or mince by hand). Whisk in the vinegar, mustard, and 1/2 tsp. each salt and pepper. Transfer the lettuces and any juice from the cutting board to the salad bowl. Add the cheese and toss well.
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