Heat grill to high. Toss wings in a few tablespoons of oil and season with salt and pepper. Place on the grill in single layers and grill until golden brown on both sides and just cooked through, about 4 to 5 minutes per side.
Chipotle Hot Sauce:
Whisk together the vinegar, Dijon mustard, chipotle puree, honey, and oil in a medium bowl. Season with salt and pepper, to taste.
Melt butter in a large skillet or a large pot on the grates of the grill. Add the hot sauce mixture and bring to a boil. Whisk in the ancho chile powder and season with salt, to taste. Add the wings and cook, stirring, for 2 to 3 minutes. Serve with Blue Cheese-Yogurt Dip.
Blue Cheese-Yogurt Dip:
Combine all ingredients in a bowl and season with salt and pepper, to taste. Cover and refrigerate for at least 30 minutes before serving.