Preheat oven to 400°F. and line a baking sheet with parchment.
Place beef in a bowl and season with salt and pepper. Add onion or shallots, garlic, Worcestershire, breadcrumbs or panko, egg, blue cheese, horseradish, parsley and olive oil. Mix to combine and let chill for a few hours to develop flavors.
For the sauce, combine all ingredients in bowl and let stand for breadcrumbs to soften. Adjust salt and pepper to taste.
Roll large, walnut-sized balls using oiled hands or a small scoop and place on a parchment-lined baking sheet. Roast to golden and crisp, about 15-20 minutes, and serve immediately with Pink Horseradish Cream alongside.