Put the jalapenos in a small bowl. Heat the vinegar, sugar, garlic, 1 teaspoon salt and 1/4 cup water in a small saucepan until just simmering. Pour the liquid over the jalapenos and refrigerate, covered, at least 1 hour and up to 3 days.
Preheat the oven to 375 degrees F. Lay the prosciutto on a baking sheet lined with parchment and bake until a few shades darker and crispy, 8 to 10 minutes. Transfer to a paper towel-lined plate to drain (they will crisp more as they cool).
Separate the endives into leaves, keeping 16 nicely-sized leaves (discard the remaining or reserve for another use).
Beat together the goat cheese, cream cheese, parsley, chives, lemon zest, a pinch of salt and a few grinds of pepper in a separate bowl.
With a spoon, dollop the cheese mixture onto the endive leaves, leaving the base of the stem bare so that they can be picked up easily. Break the prosciutto into small pieces and put a piece on each endive. Put a pickled pepper on each and arrange decoratively on a platter.