Yes. Wiener sausages and other cured products such as meat loaf, Kassler, meat sausage or bacon do not belong on the grill. They contain nitrite curing salt. Due to the heat from grilling, the nitrite can react with the protein contained in the meat and form carcinogenic nitrosamines.
Nitrite curing salt gives the meat and sausage products treated with it a reddish color. On the other hand, non-cured sausages that are suitable for grilling are whitish-grey. If in doubt, a look at the list of ingredients for packaged products helps. You should ask the butcher specifically if necessary.