Roast the grapes: Preheat oven to 350 degrees. Toss grapes with sugar and oil. Roast on a rimmed baking sheet until just starting to wrinkle and burst, 25 to 30 minutes. Let cool.
Meanwhile, make the dressing: Combine shallot, vinegar, lemon zest and juice, and cumin in a bowl. Gradually whisk in oil. Season with salt and pepper.
Make the salad: toss grapes (without pan juices) with sliced celery and leaves, frisee, apple, and walnuts. Drizzle salad with dressing, and toss to coat.