Scrub beets and trim tops to 1 in. Place in a Dutch oven; add water to cover. Bring to a boil. Reduce heat; simmer, covered, 45-60 minutes or until tender. Remove from water; cool. Peel and shred beets.
In a Dutch oven, combine sugar and vinegar; cook and stir over medium heat until sugar is dissolved. Stir in shredded beets, horseradish, salt, cayenne and pepper; bring to a boil.
Ladle hot mixture into hot 1-pint jars, leaving 1/2-in. headspace. Remove air bubbles and adjust headspace, if necessary, by adding hot relish. Wipe rims. Center lids on jars; screw on bands until fingertip tight.
Place jars into canner, ensuring that they are completely covered with water. Bring to a boil; process for 15 minutes. Remove jars and cool. If desired, serve on baguette and sprinkle with lemon zest.