Brush both sides of the zucchini slices with olive oil and place them on the grill. Sprinkle with salt and pepper. Grill, turning occasionally, until very soft but not falling apart, 8 to 10 minutes. Remove the slices to paper towels to absorb the excess moisture. Let them cool completely.
Spread about 2 teaspoons of the herbed cheese onto each of the zucchini slices. Place a basil leaf on top. Starting at one end, roll each zucchini slice up until it's a nice neat roll.
Serve the roll-ups on a platter garnished with small basil leaves. These can be assembled and chilled up to 3 hours before serving.