Make the dressing: In a bowl, mix together mayonnaise, chopped dill pickles, ketchup, drained horseradish, dried dill, onion powder, hot sauce, and kosher salt. Cover and refrigerate.

Make the sandwiches: Preheat the oven to 425. Line a baking sheet with parchment paper. Melt unsalted butter in a skillet over medium heat. Pour 4 tablespoons of the butter into a small bowl and set aside. Add sliced sweet onions and fresh thyme. Cook until onions are golden brown. 12-15 minutes.

Pour in dry sherry and beef broth. Let simmer until liquid is reduced by ½. Season with Worcestershire sauce, kosher salt, and freshly ground pepper.

Trim the ends off the bread loaf. Cut the bread on an angle into 12 slices, leaving the bottom of the loaf intact. (You can position chopsticks along the sides of the bread to keep from cutting all the way through the loaf.) Transfer to the baking sheet.

Brush the reserved melted butter between the bread slices and all over the loaf. Set aside about ⅓ of the onions. Fill every other slice of the loaf with the remaining onions, starting with the first slice. Fold the roast beef and tuck into the onion filled slices, along with the cheese. Top the loaf with the reserved onions and any onion juices.

Bake until cheese is browned and bubbly, about 20 minutes. Pull apart or slice into individual sandwiches. Serve with the dressing.