Chop the anchovies and garlic until they form a rough paste. Transfer to a small bowl and whisk in mustard, egg yolks and lemon juice. Once mixed, slowly drizzle in olive oil and whisk until emulsified. Add in Parmesan if using. Season to taste with salt and pepper.
Prepare grill for direct-heat cooking over medium-hot charcoal (moderate heat for gas). Cut romaine hearts in half lengthwise, then grill, cut sides down, covered only if using a gas grill, until grill marks just appear, about 2 minutes.
Drizzle with dressing and serve immediately.
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