Prepare a charcoal fire or heat a gas grill to high. Alternatively, the bundles may be pan-sauteed in a skillet over medium-high heat using a small amount of olive oil.
Place a large pan of water over high heat and bring to a boil. Remove the leaves intact from the head of radicchio by removing the core and peeling the leaves off from the core upward. When the water is boiling, blanch the radicchio leaves by dipping them into the boiling water for about 5 seconds. Remove them with tongs and plunge them into a bowl of ice water to stop the cooking. When cool, remove the leaves and place on paper towels to drain. They will be limp and pliable.
Slice the smoked scamorza into 8 slices, about one ounce each. Wrap each slice of mozzarella with a slice of prosciutto and then wrap with a wilted radicchio leaf, taking care to completely enclose them. Secure each bundle with a string, like tying a package. Brush each with olive oil.
Grill the bundles over the prepared fire or cook in a skillet over medium-high heat for about three minutes on each side. Turn the bundles with tongs or a spatula so that they brown evenly, being careful not to pierce them. As they are cooked, remove them to a platter.
To serve, drizzle the pesto over the bundles and sprinkle with pine nuts or alternatively serve them with a green salad. Serve the bundles warm so that the mozzarella oozes out when they are cut open. Makes 8 bundles and serves 4-8.