In a blender, combine the fermented black bean sauce, horseradish, soy sauce, vinegar, sesame oil, and canola oil. Blend until fully incorporated. Reserve ¼ cup in a small ball jar or tupperware and store in the refrigerator. Pour the rest into a shallow baking dish (e.g,. a 9x13 pan).
Place the chicken thighs into the marinade, turning to coat both sides. Place the covered dish in the refrigerator and marinate the chicken for at least 1-2 hours or up to overnight.
Preheat a grill or grill pan to medium-high heat (about 375-400 F).
Whisk together the reserved ¼ cup of marinade with the 1 cup mayonnaise. Taste and add more mayo if desired.
Grill the chicken thighs, turning once, until firm and cooked to a safe temperature, about 5-7 minutes. Discard any remaining marinade.
Spread a couple of generous dollops of the mayo sauce on a large serving plate. Transfer hot chicken thighs directly from the grill onto the sauce. Serve immediately, with the extra sesame-horseradish mayo on the side and, optionally, a sprinkle of chopped cilantro.