Thaw dough according to package directions. Cut each roll in half; reshape portions into balls. Place 2 in. apart on lightly greased baking sheets. Cover with clean kitchen towels; let rise in a warm place until almost doubled, about 30 minutes.
Uncover dough; gently press to flatten slightly. Whisk egg and water; brush over tops. Sprinkle with sesame seeds. Bake at 400° for 8-10 minutes or until golden brown. Remove to wire racks.
In a large bowl, combine the first five kabob ingredients. Crumble beef over mixture and mix well. Shape into 24 patties. On 24 metal or soaked wooden skewers, alternately thread patties, red pepper and onion, inserting patties sideways.
Moisten a paper towel with cooking oil; using long-handled tongs, lightly coat the grill rack. Grill kabobs, covered, over medium-high heat for 4-5 minutes on each side or until patties are no longer pink. Remove from the grill; immediately top patties with cheese. Cut buns in half; assemble sliders.