Heat grill to medium. Sprinkle cinnamon and ancho chili powder on cut sides of peaches.
Place peaches cut side down on grill and grill for 4 to 5 minutes. Flip over and grill another 4 to 5 minutes. Remove from grill and place on a serving platter.
Using an electric mixer, beat mascarpone cheese and whipping cream until the mixture starts to thicken. While continuing to beat, gradually add sugar. Keep beating until mixture is fairly stiff. Chill until ready to use.
To serve, place a large spoonful of mascarpone cream where the pit was on each peach and drizzle with desired amount of caramel sauce.