Why on Earth would you buy frozen veggies to do on the grill? Fresh is better in every way, and some are extremely easy to cook on the grill.
Asparagus is great on the grill -- check this thread: Asparagus on the Grill
Green, red and yellow peppers are also great -- just coat with olive oil, add a little salt, and grill until they start to soften and develop black spots.
Onions are marvelous -- peel and cut into 3/4" slices, oil, salt and pepper, and grill until very soft.
Potatoes: buy the very small ones and skewer several, oil, salt & pepper, and grill about 20 to 30 minutes. Or buy larger ones, preferably a long, evenly shaped Russet, cut in half lengthwise, then in half lengthwise again, and in half lengthwise once more (8 long wedge-shaped pieces); oil, salt, pepper, grill for 30 minutes, turning every 5 or 10 minutes until well browned.
Eggplant: Japanese are best -- cut in half lengthwise, marinate in a little soy sauce and sesame oil, and grill about 5 minutes per side. Or grill slices of the big eggplants.
Summer Squash: Crook neck or patty pan -- split in half, oil, S&P, grill until marks appear and slightly soft, turning now and then.
Can't think of anything else right now.