Its illegal....When we do annual fire inspections of the apartment complexes(the buildings, hallways and stairwells, not inside the peoples places) we look for them on the balcony's.
If it lights off the fire is under the soffit. Once it punches through the soffit it spreads quickly into the attic. The attics of most apartment buildings are one big open space that are not sprinklered and fire spread quickly. thats how you burn an apartment building down fast, which is why its illegal.
Of course there is nothing wrong with grilling out, but if it goes wrong, which no one anticipates, there are some massive consequences.