Preheat the grill to medium-high heat.
Rub the corn with olive oil and season with seasoning salt, to taste. Grill the corn until it's charred, on all sides, rotating for about 10 minutes.
Meanwhile, mix the mayonnaise, chili powder, cayenne, lime juice and salt and pepper, to taste, together in a small bowl. Remove the corn from the grill and brush the hot corn with the mayonnaise mixture. Arrange on a platter and sprinkle with the feta cheese. Serve with lime wedges on the side.