1. Preheat a gas grill to high. In a bowl, mash butter, shallot, horseradish, lemon zest and 1/4 tsp. salt with a fork until well blended. Roll into a log about 1 inch in diameter, wrap tightly in plastic wrap and place in freezer.
2. Rub oil on steak; sprinkle with salt and pepper. Grill steak, turning once, until cooked through, 8 to 10 minutes for medium-rare.
3. Let steak rest on a cutting board for 5 minutes, loosely covered with foil. Slice steak on a diagonal against the grain. Serve with slices of horseradish butter on top.