While grill is warming up, heat all of the sauce ingredients in a saucepan.
Place on a very low simmer to keep the sauce warm while grilling the swordfish steaks.
Grill the steaks on a medium-low heat for 2 minutes on each side until the bread crumb coating is a nice gold-brown color.
The thicker the steak, the longer the time necessary to cook through, keeping in mind that the steaks should not be cooked to the point of being dry, but rather they should be moist and tender inside.
Pour a little bit (about a tablespoon) of the creamy lemon caper sauce on top of each steak.
Garnish with sprigs of fresh-cut Italian parsley and slices of lemons.
Pass the remainder of the sauce around to guests.