1/2 cup bread and butter pickles, cut into 1/2-inch pieces
Preheat oven to 250F.
Place pork belly in a baking dish and cover with chicken broth. Add bay leaf and thyme and cover with aluminum foil. Cook 6 hours, or until pork is meltingly soft. Remove from oven and refrigerate overnight, leaving pork in its cooking liquid.
While pork is cooking, prepare sauce by stirring together barbecue sauce and horseradish. (Add more or less horseradish to suit your taste.) Cover and refrigerate overnight.
Remove pork from cooking liquid, reserving liquid for another use. Pull pork into large chunks and place in a food processor. Add salt and pepper and pulse 8 to 10 times, until a chunky paste is formed. This will be the filling for your pastry.
Place half the flour on a work surface. Place 1 pastry sheet on floured surface. Roll to 1/8-inch thick, long side facing you. Using a piping bag or your fingers, place a 1/2-inch thick log of filling along the edge of pastry. Gently roll pastry over filling until it overlaps itself by 1/2-inch, creating a seam. Brush a small amount of heavy cream on overlapping surfaces to seal roll, then cut finished roll away from remaining pastry sheet. Transfer finished roll to a baking sheet lined with parchment paper.
Repeat to create 2 more rolls from the first sheet of pastry.
Repeat process with remaining pastry sheet and filling. (You may freeze the rolls at this point to use later.)
Preheat oven to 400F.
Brush rolls with remaining heavy cream and bake 25 minutes, or until puffed and golden brown. Remove and let cool slightly. Slice each roll into 10 pieces and arrange on a serving platter. Drizzle with horseradish barbecue sauce and top with diced sweet pickle.