Heat a grill to medium heat.
Pull the cornhusks down to the base of the stalks, leaving the husks attached. Discard the corn silk. Using kitchen string, tie back the husks. Fill a large bowl with cold, salted water and submerge the corn for 10 minutes.
Drain the corn but don't pat dry. Grill the corn, turning occasionally and brushing with melted butter until tender and browned in spots, about 8 minutes.
While corn is grilling, whisk together mayonnaise and cayenne.
Season the corn with salt and pepper. Brush mayonnaise mixture onto hot corn and sprinkle with feta crumbles.
Squeeze lime juice over the corn. Serve with additional lime wedges.