Pierce potatoes with a fork; place in a microwave-safe casserole. Add the water; put the lid on Microwave potatoes on HIGH 10 to 12 min. or until just about softened. Drain them; rinse them under cold water. Let them cool.
Cut the potatoes into quarters. Combine mayonnaise, mustard and bell pepper in a large bowl. Add potatoes; toss to coat well. Refrigerate for 1 hour.
Oil the grill and heat it over medium heat. Thread potatoes onto 8 small metal skewers; brush with remaining mayonnaise mixture in bowl. Grill 8 to 10 min. or until softened and golden brown, turning after 5 min. Put them on a tray; sprinkle with cheese.