If using bamboo skewers, soak in water for at least 30 minutes.
Prepare the grill for direct cooking over medium heat (350° to 450°F).
In a small saucepan combine the vinegar and sugar. Bring to a simmer and cook until the mixture coats the back of a spoon, about 10 minutes, stirring occasionally. Set aside.
In a small bowl mash the blue cheese and pecans together with a fork. Make a small slice the length of each date and pull out the pit. Stuff each date with about 1 teaspoon of the cheese mixture, pressing it closed as much as possible. Thread two dates on each skewer so that the skewer goes through both halves of each date. Lightly spray with the canola oil.
Brush the cooking grates clean. Grill the dates over direct medium heat, with the lid closed, until heated through, about 1 minute.
Arrange the dates on a platter and let cool for 10 minutes. Serve the dates warm with the glaze.