1. Puree anchovies and garlic in small processor, scraping down sides of bowl occasionally. Add 2 tablespoons oil and next 4 ingredients; process until smooth. Add mayonnaise and pulse just to blend. Season dressing with salt and pepper. 2. Prepare barbecue (medium heat). Cut onion into 1-inch cubes; thread onto metal skewers. Brush onion cubes with remaining 1 tablespoon olive oil; sprinkle with salt and pepper. Grill until lightly charred and soft, turning occasionally for even grilling, about 12 minutes. Cool. Remove onion cubes from skewers and place in large bowl. (Can be prepared 2 hours ahead. Let stand at room temperature.) 3. Place potatoes in large pot. Add enough water to cover by 1 inch. Bring to boil. Reduce heat to medium-high and boil until potatoes are just tender, about 15 minutes. Drain; cool. 4. Cut potatoes into wedges. Add potatoes and cheese to bowl with onion cubes. Pour dressing over potatoes; toss to coat. Season salad to taste with salt and pepper. (Can be made 1 day ahead. Cover and refrigerate.) 5. Line large plate with romaine lettuce leaves. Spoon potato salad into center of lettuce and serve. 6. Market tips: Cans or jars of anchovies with capers are shelved with the other anchovy varieties at the supermarket. Look for chili-garlic sauce in the Asian foods section of supermarkets and at Asian markets.
