Preheat the grill to medium-high heat.
Place ¼th of the butter onto the center of a piece of aluminum foil. Place ¼th of the frozen fries into a single layer onto the aluminum foil square. Bring the edges of the foil up around the fries, leaving a large hole on top for steam to escape. Repeat with remaining fries and foil.
Place the foil packets onto the grill over indirect heat (direct heat can cause the fries to burn). Cover the grill and cook for about 25 to 30 minutes, tossing the fries half-way though cooking.
Once the fries are crispy and cooked through, carefully open the packets with a pair of tongs. Be careful of any escaping steam. Top the fries with ¼th of the shredded cheese, buffalo sauce, and ¼th of the blue cheese. Cover and cook for another 2 to 4 minutes, or until the cheese has melted.
Sprinkle with chopped scallions and serve immediately.