“There’s a steakhouse in Indiana called St. Elmos that has a famous shrimp cocktail sauce made with horseradish. “
Horseradish is standard in shrimp cocktail sauce.
Must not be their secret ingredient then -
https://www.amazon.com/ST-ELMOS-Cocktail-Sauce-Fluid/dp/B0749X515X
I make my own, using ketchup and horseradish - the hottest I can find, then experiment until I get just the right flavor/burn.
[sidebar] I found out that some horseradish can be the equivalent of nuclear waste. The local casino has a Sunday prime rib buffet and has some of the hottest horseradish I have ever tasted. Got a huge dollop to go with the meat, ended up buckets of tears running down my cheeks, and a burning mouth that couldn't taste anything. First time I retreated, as I can handle habaneros with ease.