Preheat the oven to 375 degrees . Arrange the bacon on a broiler pan or parchment-lined baking sheet; bake until crisp, 15 to 18 minutes. In a medium bowl, mix the sour cream, herbs, horseradish and garlic. Add the lemon juice and season with salt and pepper.
Meanwhile, heat an outdoor grill or cast-iron skillet over medium-high. Season the steak with Worcestershire and salt and pepper; drizzle with EVOO. Cook to desired doneness, about 6 minutes per side for medium-rare. Let rest 10 minutes; thinly slice against the grain.
Divide baguette bottoms among plates. Top with the sliced steak, bacon, watercress, tomato and onion. Add baguette tops slathered with the horseradish sauce.