Combine the sauce ingredients. Heat a panini press, cast iron skillet or griddle over medium to medium-high heat.
On a work surface, spread the horseradish sauce liberally over four slices of bread. Arrange two slices of rare roast beef over the sauce. Combine the red onion (or shallot) with the parsley, chili pepper and lemon zest and sprinkle liberally over the roast beef. Arrange a layer of watercress over the beef. Divide the cheese evenly among the sandwiches and set the remaining bread slices in place. Press the panini two at a time on the panini press or in a hot skillet with a pan weighted on top.