In a gallon-size zip-top bag, combine the chicken, mustard, olive oil, lemon juice, lemon zest, salt, pepper, garlic, and rosemary. Seal the bag while pressing out any air. Thoroughly massage the mustard mixture all over the chicken, then refrigerate to marinate.
Preheat the grill to medium heat (350°) for direct heat cooking by lighting the heat source (or piling coals) in the spot that will be directly under the food. Put the canola oil on a folded paper towel and use a large pair of tongs to wipe down the grill grate with it.
In a food processor, pulse together the feta, yogurt, parsley, scallions, garlic, lemon juice, and lemon zest until fully incorporated. Transfer the sauce to a small bowl.
Thread 4 or 5 pieces of marinated chicken onto each skewer. Place them on the grill and cook for 4 to 6 minutes per side, until the chicken reaches an internal temperature of 165°F. Remove the skewers from the grill, cover loosely with aluminum foil, and let them rest for 10 minutes.
Serve with the feta dipping sauce on the side.