One of the most popular advices about cooking, is about pastas (specifically spaghetti), which tell us to throw the spaghetti to the wall and if it sticks, it's ready. Now, why if people are trying to make their pasta less "sticky", does this advice tells us that it has to stick to the wall? Why a pasta that is ready has to stick to the wall? 
It is similar to cooking over a propane grill. Gas grills often have stone or ceramic bricks in them to help retain heat, but it is the burning gas that provides it.  Cooking over a gas stove should be similar.  That said, I wouldn't grill meat or fish directly over the flame; it may work, but the cleanup may not be worth it.  If you want to char a pepper or some bread and get the 'grill' feel, that should work fine.  I see chefs do it all the time on TV, and it looks easy enough and doesn't make a mess. 