Prepare and preheat your lump charcoal grill to create two heat zones: high and low.
In a small bowl, combine the rosemary, fennel, salt and pepper. Pat the steaks dry with paper towels and season both sides with the spice mixture. Lightly coat the steaks on all sides with olive oil.
Sear the steaks over the hot side of the grill until the exterior forms a nice crust, about 4 minutes per side. Move the meat to the low side of the grill, cover the grill and cook until the steaks reach an internal temperature of 125 degrees F for rare to 135 degrees F for medium, depending on your desired doneness, 5 to 10 minutes per side.
Transfer the steaks to a cutting board and let rest for 10 minutes before serving with the peperonata.
In a large heavy skillet, heat the olive oil over medium heat. Add the onion, bell peppers and garlic and cook, stirring, until the vegetables are soft, 10 minutes. Add the tomatoes, oregano and sugar; cook until the peppers are very soft and most of the liquid has evaporated, about 30 minutes. Season with salt and pepper; stir in the chiles and vinegar. Discard the oregano.