Pierce the meat all over with a fork and place in a large resealable plastic bag. Add 2 tablespoons of the olive oil, the Worcestershire, vinegar, garlic and whole rosemary. Seal the bag, pushing out all the air. Shake the bag a few times and refrigerate for 30 mins or up to overnight.
Preheat the grill and line a rimmed baking sheet with aluminum foil. Remove the meat from the marinade and pat dry. Sprinkle both sides with 1 1/2 teaspoons salt and 1/2 teaspoon pepper. Grill, flipping once, until the internal temperature reaches 50°C, about 13 minutes. Transfer to a cutting board, tent with foil and let rest at least 15 minutes.
Meanwhile, heat the remaining 2 tablespoons oil in a large frying pan over medium-high heat. Cook the bacon, stirring, until crispy, about 5 minutes. Add the mushrooms and cook until golden brown and tender, about 10 minutes. Add the breadcrumbs, butter, chopped rosemary and 1/4 teaspoon each salt and pepper. Cook, stirring, until the breadcrumbs are golden brown, another 3 minutes. Set aside.
Stir together the sour cream and horseradish and season with salt and pepper. Slice the steak against the grain, top with the mushrooms and garnish with the chopped parsley. Serve with the horseradish sauce on the side.