Preheat a grill pan over high heat. Pour a couple of tablespoons of extra-virgin olive oil into a small dish. Slice radicchio heads into quarters and remove core. Brush quarter heads with oil on both sides and grill wedges 3 minutes or so on each side. Season with salt and pepper. Arrange wedges of grilled radicchio on a platter. Pile sliced beets at the center of the platter. Sprinkle platter with red onion and drizzle salad with balsamic vinegar and oil. Adjust salt and pepper and serve.