Prep the grill. Preheat pellet grill to 225 degrees F with your favorite wood pellets for beef.
Make the horseradish rub. Combine softened butter, horseradish, Worcestershire sauce, dijon mustard, mayo, garlic, and rosemary in a medium bowl. Mix together well and set aside.
Season the rib roast. Pat the prime rib roast dry with paper towels. Then season all sides of the roast liberally with salt and pepper.
Transfer to a wire rack lined baking sheet. Place a piece of aluminum foil over a baking sheet and set a wire rack on top. Place the seasoned roast fat side up on the wire rack. *This allows you to catch the drippings as the roast cooks to use for an au jus.
Spread on the horseradish rub. Next, slather on the horseradish rub, taking care to evenly cover all sides of the roast. If you're using a bone-in roast, then you can omit the rub on the bone side. *The recipe for the horseradish garlic butter rub is just the right amount for a 6-7 pound, three bone roast. If your roast is larger than that, you may want to double the recipe.
Smoke the prime rib roast at 225 degrees. Place the baking sheet with the rib roast on the preheated grill and close the lid. Smoke the roast until it reaches an internal temperature of about 110-115 degrees F for medium rare, rotating the baking sheet every hour for even cooking. Once the internal temp reaches that range, remove the baking sheet and roast from the grill.
Increase smoker temp to 500 degrees to sear. With the roast off of the grill, increase the pellet grill temp to 500 degrees F. When the grill reaches that temp, place the baking sheet with roast back on the grill to sear until the internal temp reaches about 120-125 for medium rare.
Rest and serve. Remove the smoked prime rib from the grill and let rest for about 15-20 minutes. The internal temp of the roast will continue to rise during this time, and may rise as much as 5-6 degrees, so be sure to account for that when temping the meat. After the resting period, slice the smoked prime rib roast into steaks about ½" - 1" thick, depending on preference. Serve warm with horseradish sauce or au jus.