Place sugar and sherry vinegar in a very small sauce pot over medium heat. Simmer until sugar is dissolved and mixture is reduced by half and syrupy, about 15 minutes or so. Remove from heat and allow to cool. Note: You will only be using a small amount of this reduction for this dish. Store the excess in an airtight jar in the refrigerator for another use. It keeps indefinitely.
Preheat oven to 400°F.
Cut blue cheese into 12 rectangles, 1-inch long by ½-inch square. Using a small, sharp knife, cut an X into the stem end (pointed end) of the fig going about halfway down the fig. Gently use your finger or the end of a wooden spoon to make a hole in the fig big enough to hold a cheese rectangle. Insert one rectangle of cheese into each fig and wrap a piece of Serrano ham (fatty side up) securely around the fig, leaving top 1/4 of the fig exposed. Secure ham with a toothpick if needed.
If using dates, cut each piece of cheese and jamón in half.
Line a baking sheet with foil or parchment paper and arrange the figs on it, leaving some space between them. Roast the stuffed figs for 15-18 minutes until the ham is crisp and cheese is melted.
Transfer roasted figs to a serving platter, drizzle with olive oil and accent with drops of the sherry vinegar reduction.