How to Make It
In the bowl of a stand mixer, beat together cream cheese, butter, lemon zest, lemon juice, Worcestershire sauce, hot sauce, and salt until completely combined, about 2 minutes.
Add half of the roasted bell pepper, the Cheddar, Parmesan, and horseradish to the mixer. Mix on low until evenly combined.
Place a 14-inch long layer of plastic wrap onto the counter. With clean hands, take the cheese mixture out of the mixer and shape it into a cone with a wide base. Place this cone onto the plastic wrap, and wrap the entire cheese ball before refrigerating for at least 2 hours.
Take the cone from the refrigerator and remove the plastic wrap. Place the cheese ball onto a serving platter, and working from the bottom of the cone to the top of the cone, carefully place the parsley leaves so that they are pointing downward. Once the entire cone is covered in parsley, press the pecan pieces and the rest of the red pepper pieces into the cheese ball to decorate the tree. Garnish the tree with shreds of Parmesan.