Combine coconut milk, sugar, bay leaf, and salt in small saucepan over medium heat. Let simmer gently until sugar dissolves, 3 to 5 minutes. Taste for sweetness, adding more sugar if necessary. Remove pan from heat and let mixture cool to room temperature.
Preheat grill to high. When ready to cook, brush grill grate clean and apply thin coat of oil to grate. Place corn on hot grate; start basting with coconut milk mixture after a few minutes. Baste several times as it grills until nicely browned on all sides, 2 to 3 minutes per side, 8 to 12 minutes in all or to desired doneness, turning with tongs.
Baste corn one final time, transfer to platter or plates, and serve.