Pat the chicken wings dry with paper towels. Thread each wing on a bamboo skewer, starting at the meaty end and ending at the wingtip so that the wing is stretched out as much as possible without ripping the skin. Arrange the wings in a large, shallow dish.
In a blender, purée the coconut milk, lemongrass, garlic, scallion whites, chiles, cilantro, fish sauce, ginger, lime juice, and sugar until smooth. Pour the marinade over the wings, turning to coat evenly. Cover with plastic wrap and refrigerate for 2 to 4 hours.
Prepare a gas or charcoal grill fire for direct grilling over medium heat (350°F). When ready to cook, clean the grate with a wire brush and, using tongs, wipe the grate with a paper towel or cloth dipped in oil.
Shake off any excess marinade from the wings and wrap the ends of each skewer with a small piece of aluminum foil to protect them from burning. Grill the wings (covered if using a gas grill), flipping halfway through cooking, until golden-brown on the outside and an instant-read thermometer inserted in a thick part of a wing reads 165°F, 16 to 24 minutes total.
Brush the wings on both sides with the sweet chili sauce and grill until the glaze sizzles, 1 to 2 minutes per side. Transfer the wings to a platter, sprinkle with the scallion greens, and serve.