I don't use a lot of rubs - but curiously Sunday I did and managed to "burn" one - saved the roast, but anyhow.... mixed up some powder garlic&onion, salt, fgbp, smidge of cayenne, chili powder, ground mustard, probably a couple other things I've forgotten.
dry rubbed it into the roast and then seared the roast before putting it in the oven - well, the 'first' side of the rub got too brown (ok, it burnt....) - a timing/temp issue - managed to cut back on the rest.
but rubs for charcoal grilling I've not found to be a problem - there's enough fat dripping off that no 'crust of rub' remains to burn
rubs for a covered / uncovered roasting event - beef / pork / chicken / fish have not been a "oops it burned" issue for me.