Combine balsamic vinegar and brown sugar in a small sauce pot, over medium heat, and bring mixture to simmer.
Once it starts to simmer, turn the heat down to medium-low. Let vinegar slow-simmer, stirring occasionally, until the mixture reduces and thickens. It should be thick enough to coats the spoon but note that as the reduction cools, it will get thicker. It will take 7-10 minutes but please note, that it will start to thicken fast during the last couple of minutes so keep an eye on it. Also, remember that a reduction continues to thicken as it cools!
Take the pot off the heat and pour the balsamic reduction into a bowl to cool down.
Watermelon Salad:
Cut the watermelon in half and then slice it into slice that are between 1/2 and 1 inch thick. Cut the core off the watermelon and discard. Cube watermelon into cubes and place into a large mixing bowl.
Add sliced shallot, cucumber, and feta cheese.
Use a wooden spoon to gently mix everything until combined and transfer into a serving bowl.
You can drizzle balsamic reduction over the top or serve it along side of the salad so that guests can drizzle some reduction on individual portions.