1. Preheat grill to high.
2. Place cheese in a medium bowl and mash it with the back of a spoon until creamy. Add vinegar, dry mustard, shallot, parsley, 1/4 teaspoon salt and 1/4 teaspoon pepper; whisk to combine. Continue whisking and slowly drizzle in 1 tablespoon oil until blended. Set aside.
3. Cut each radicchio head in half, core and quarter each half. Thread radicchio chunks and beets onto skewers. Drizzle the skewered vegetables with 1 1/2 teaspoons oil. Rub steaks with the remaining 1/2 teaspoon oil. Season the steaks and skewered vegetables with the remaining 1/2 teaspoon salt and pepper.
4. Grill the steaks 3 to 4 minutes per side for medium-rare. Grill the vegetable skewers, turning frequently so the radicchio doesn't burn, until the radicchio is wilted and lightly charred, 5 to 7 minutes total. Transfer the steaks to a plate; let rest for 5 minutes. Remove the vegetables from the skewers. Serve the steaks and vegetables drizzled with the sauce.

Yield: 4 servings