In a small bowl, mix mayonnaise and horseradish until thoroughly combined. Set aside. Spread a teaspoon of horseradish mayonnaise over each steak slice. Lay one steak slice atop radicchio leaf and top with a Brie slice. Carefully roll, wrapping radicchio around steak and Brie. Secure with a toothpick. Repeat assembly, using all ingredients. Grille wraps over medium heat until Brie bubbles. Serve immediately with additional horseradish mayonnaise for dipping.