To make the shrimp…In a large skillet, add bacon and turn the heat to medium. Sauté until almost crispy, about 9 to 10 minutes. Add shrimp and sprinkle on Creole seasoning, salt and pepper. Sauté for 1 minute or almost pink. Using a slotted spoon, transfer bacon and shrimp to a bowl; set aside.
Add butter to the skillet and when melted, add celery and sauté for 2 minutes.
Add red peppers and white parts of green onions; cook for 2 minutes. Quickly sauté garlic for 30 seconds.
Add flour and stir to coat. Cook for 2 minutes, stirring constantly.
Pour in broth, Worcestershire sauce, hot sauce and freshly squeezed lemon juice. Bring the mixture to a boil, reduce the heat to medium-low and cook for 5 to 6 minutes or until the mixture thickens.
Meanwhile, make the grits…In a medium pot over medium heat, add milk and salt; bring to a boil. Slowly add grits, whisking continuously for 2 minutes. Cover, reduce heat to low and simmer gently until grits gets thick and creamy, about 5 to 6 minutes, whisking often.
Remove from the heat and, working in batches, add cheese; stir until nicely combined. Cover and set aside.
Return the bacon and shrimp back to the skillet along with any accumulated juices, making sure the shrimp are submerged. Cook for just 2 minutes, enough to warm up the proteins.
Spoon grits into warm bowls, top with sauce mixture and garnish with green parts of green onions.