Preheat the oven to 425º. In a small bowl, whisk the olive oil, sugar, and spices.
Lay out one pieces of foil on a baking sheet, add beet in center of piece of foil. Then rub beets all over with the spice mixture. Wrap beets in foil and roast until tender when pierced with a knife, about 50 minutes to one hour.
Let beets sit at room temperature until cool enough to handle. Thinly slice the beets into rounds.
Meanwhile, make the sauce: In a small bowl, whisk together mayonnaise, pickle relish, ketchup, horseradish, lemon juice, and Worcestershire. Season with salt and pepper. Refrigerate until ready to use if not using right away.
Butter one side of each slice of bread. On the non-butter side spread Russian dressing on each slice. Top half of the slices with cheese, corned beets, and sauerkraut. Top each sandwich with remaining slices of bread, dressing side down.
Heat a medium skillet over medium heat. Place a sandwich in skillet and cook until golden and cheese is melted, three minutes per side or until brown. Can be finished in the oven as well for extra melting. Serve warm.
