In medium saucepan, combine blueberries, lemon zest, lemon juice and sugar. Bring to boil; reduce heat to low and simmer, stirring occasionally, until sauce has thickened, about 5 minutes.
Heat butter in grill pan over medium-high heat. Place 3-4 slices Brie on 4 waffles and top with generous scoop of prepared blueberry compote. Repeat with remaining waffles and top with remaining 4 waffles to make 4 sandwiches.
Place sandwiches in pan and grill, flipping once, until waffle is golden and cheese has melted, about 2-3 minutes per side.