Lightly rub the outsides of the beets with olive oil, then set them on a sheet of aluminum foil. Wrap up the foil to cover the beets, and place the entire foil packet into the oven. Bake until the beets are easily pierced with a fork, about 1 hour. Remove the beets from the oven, open the foil, and allow them to to sit until they're cool enough to handle.
Once the beets are cool, rub the outsides to remove the skin. It should come off easily.
Cut the beets into thin (¼ inch or less) slices and place them into a medium bowl. Drizzle with balsamic vinegar and sprinkle with salt and pepper.
Make the creamy dill cashew cheese:
Place the cashews, milk, lemon juice, and garlic into a blender or the bowl of a food processor fitted with an S-blade. Blend until smooth, stopping to scrape down the sides of the bowl or pitcher as needed. You can thin the mixture with some additional milk if needed. Season with salt and pepper to taste, then add in the dill and pulse until incorporated into the mixture.
Assemble the sandwiches:
Slather the bread slices with the creamy dill cashew cheese, then pair them up and stuff them with beet slices, onion slices, and lettuce. Serve.