Heat a grill to high (450° to 550°). In a small bowl, stir together yogurt, chopped cilantro, oil, salt, pepper, pinch of cayenne, and half of lime zest. Set feta on a plate. Put zaatar in a small dish and a few pinches of cayenne in a second small dish.
Grill corn, covered and turning a few times, until charred in sections, 8 to 12 minutes total. Transfer to a platter.
Brush corn with yogurt mixture, then roll each cob in cheese, pressing so cheese sticks (brush some off if it clumps too much). Sprinkle corn all over with zaatar and as much cayenne as you like. Sprinkle corn with remaining lime zest and serve with lime wedges and cilantro sprigs. Serve any leftover cheese on the side.
*Find labneh at well-stocked grocery stores. Find zaatar, a blend of thyme, dried sumac, sesame seeds, and other seasonings, at well-stocked grocery stores and oaktownspiceshop.com ($6.75 for a 1/2-cup jar).