Place each slice of beef in between 2 layers of plastic wrap and pound thin using a meat mallet. Generously spread one side of each filet with 1/2 tablespoon of mustard. Place bacon, onions and pickle slices on each steak.
Wrap the steak around the bacon, pickles and onions to form a tight roll. Use string of toothpicks to hold the roll together. Season with the salt and cracked black pepper.
When ready to cook, start the Traeger grill on Smoke with the lid open for 4-5 minutes. Place the rolls directly on the grill grate and smoke for 30 minutes. Remove the steak rolls from the grill, close the lid and increase the temperature to 325 degrees.
Allow the grill to preheat while you prepare the braising liquid. In a large baking dish, combine the beef stock, Worcestershire sauce, bay leaf and smashed garlic cloves.
Return the steak rolls to the grill and sear on each side (approximately 3-5 minutes per side). Gently arrange the steak rolls in the braising liquid and place the pan on the grill.
Cook for 1 1/2-2 hours or until the steak is very tender. Remove the steak from the dish to a separate platter and cover with tin foil.
Heat the baking dish on the stove top. Combine the cornstarch and cold water in a separate bowl. Stir the cornstarch mixture and cream slowly into the juices in the baking dish. Bring the gravy to a boil, stirring constantly for 1-2 minutes.
Return the rolls to the warm gravy and serve immediately. Enjoy!