Prepare a charcoal or gas grill for indirect grilling over medium-high heat (350°). Cut 4 (12x9-inch) sheets of heavy foil. Fold 1-inch up on each edge of foil; spray with nonstick spray and set aside.

Whisk together eggs and cake mix in a medium bowl. Fold in cherry pie filling. Divide and pour batter in center of each prepared foil sheet. Fold up long sides, leaving 3-inch opening on top; double-fold short sides to close packets.

Grill packets 1 hour 10 minutes to 1 hour 20 minutes or until a toothpick inserted near center comes out clean. Cool slightly.

Meanwhile, for icing, stir together powdered sugar, milk, and vanilla until smooth. Drizzle icing over top of each cake. Serve with ice cream, if desired.