In skillet, cook cabbage in 3 tbsp. oil over medium until softened, 5 minutes. Stir in next 3 ingredients and cook until liquid is absorbed, 4 minutes; season. Spread mustard on 4 slices of bread and horseradish on remaining slices. Build sandwiches with the cabbage, cheese and bread. Brush outside of sandwiches with remaining oil. In a large skillet, cook over medium until cheese melts, 4 minutes per side.