Peel three stripes on the cucumbers to still show the green and slice into 1/2-inch circles. Arrange on a platter as desired. Place in the refrigerator while preparing the cream cheese.
In a large bowl, using a hand mixer beat softened cream cheese, dill, horseradish sauce, and heavy cream until well combined.
Spread 1 teaspoon of the cream cheese mixture on top each cucumber slice (more or less to taste), then top each slice with a bite-sized piece of smoked salmon. Insert a toothpick down the center to keep in place. Garnish with dill and sprinkle with capers.
Serve at once, or keep in the refrigerator until needed.