I grilled some on the Egg over a year ago but I definitely used rum in mine.
I cut the pineapple in spears (1" x ~4"), soaked them in rum/brown sugar, etc, and then grilled direct at a low temp (350?) for just a few minutes per side. I served them with vanilla ice cream and chocolate syrup.
I haven't seen them with a creamy white sauce, maybe you could use a simple syrup to make something like a donut glaze?