Meanwhile, toss the chicken wings with the mojo criollo, Sazón, and brown sugar. Cover and refrigerate for at least 4 hours or up to overnight. Remove chicken wings from marinade, discard marinade. Toss together chicken wings, oil, and adobo seasoning.
Preheat a grill to medium heat and oil the grate. Grill the wings, turning occasionally, until the chicken is golden brown, the skin is crispy, and an instant-read thermometer inserted into the center reaches an internal temperature of 165˚F, 20 to 25 minutes. Transfer the wings to a platter and let rest for at least 10 minutes.
To finish the sauce, purée the cashews with their soaking liquid, the chipotle chile, adobo sauce, and oil until smooth and creamy, adding up to 2 Tablespoons water if needed for desired consistency. Stir in the cilantro. Scrape into a small bowl.
Serve the chicken wings with the chipotle cashew sauce and celery sticks.