Prepare barbecue using charcoal briquettes stacked 2 to 3 deep. Season the steaks on both sides with steak seasoning.
While the charcoal heats up fry the bacon in a frypan over medium-high heat until crisp. Remove from the frypan and drain on paper towels. Leave grease in the pan.
When the charcoal is covered with gray ashes put the steaks on the barbecue. Cook for 12 minutes, turning once, or to your desired degree of doneness.
While the steaks are cooking stir the butter, Worcestershire sauce and mustard into the bacon grease. Cook and stir over medium-high heat until butter has melted. Add the red capsicum and mushrooms; cook and stir until tender.
To serve, place steaks onto plates. Top with bacon, then blue cheese and then the vegetables. Serve immediately.