Cut two 1-inch-thick slices of bread and soak them in the milk to soften.
Combine the beef, Worcestershire sauce and some salt and pepper in a large bowl. Squeeze the excess liquid from the bread, then crumble it into small pieces between your fingers as you add it to the beef. Add the parsley, 2 tablespoons horseradish, the garlic and egg. Mix until just combined, then form into 2 1/2-inch balls.
Heat a cast-iron skillet or large, wide heavy-bottomed pan over medium-high heat. Add the EVOO to the hot skillet, then cook the meatballs until browned, 7 to 8 minutes. Add the beer and cook for 1 minute to reduce it slightly. Add the consomme, cover the skillet with foil and cook for 12 to 15 minutes, shaking the skillet occasionally.
Meanwhile, toast the remaining loaf bread in the oven.
Combine the sour cream, chives, heavy cream and the remaining 2 tablespoons horseradish in a bowl. Season with salt and pepper.
Divide the meatballs among plates and garnish with the watercress. Serve with the sour cream dipping sauce and hunks of toasted bread.
The meatballs can be refrigerated for a make-ahead meal. Reheat over medium heat, covered with foil. The sour cream dipping sauce can be made ahead and refrigerated, covered.