Preheat oven to 425°. Trim beets by cutting off the leaves and stringy roots. Toss with 1 tablespoon oil on a large rimmed baking sheet. Spread in an even layer. Cover tightly with aluminum foil.
Bake beets 45 to 55 minutes. Uncover, and let cool slightly, about 10 minutes. Peel beets, and cut into quarters. Place beets in a large bowl; gently toss with cabbage, vinegar, horseradish, sugar, 1 tablespoon oil, and 1 teaspoon kosher salt. Set aside.
While beets are roasting, marinate steak in Dale's sauce for 30 minutes.
Preheat grill while beets are roasting. Grill steaks over medium high heat for 3-4 minutes on each side until temp reaches 135°-140°. Remove from grill and let steaks rest for 10 minutes. Slice for serving.
While steaks rest, whisk together Greek yogurt, bleu cheese, remaining 1/2 teaspoon kosher salt, and remaining 1/2 teaspoon pepper in a small bowl until almost smooth. Spread yogurt and cheese mixture on 4 plates; divide cabbage mixture and steaks among plates. Sprinkle with parsley and sea salt.