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Heat the olive oil in a small saucepan until hot. Add the sage and allow the sage to infuse its flavor into the oil. Remove from the heat when the sage becomes fragrant and slightly crispy, a few minutes.
Grill the endive and radicchio until slightly wilted with good grill marks, about 4 minutes per side. Turn the endive and radicchio cut-side up and top with the gorgonzola. Close the lid and grill until the cheese has softened, 2 minutes.