Mix capers, scallions, and Cream Cheese until smooth. Spread mixture on one side of bread slices. Heat skillet or sauté pan over medium heat. Top 4 bread slices each with a slice of Cheddar, 2 ounces lox, and some pickle slices. Top each with another bread slice. Add 2 tablespoons butter to heated pan; place the sandwiches in pan. Top each with 1 tablespoon butter and grill for 3 minutes; flip carefully and grill until bread is browned and cheese melts.