In a 2-qt. saucepan, bring 4 cups water to a boil over high heat. Reduce heat to low and whisk in grits. Cook, whisking frequently, until grits are tender and creamy, 30–40 minutes. (Whisk in more water for thinner grits.) Whisk in cheddar, parmesan, and 1 tbsp. butter and season with salt; cover and set aside.

Heat oil in a 12″ skillet over medium heat.

Season shrimp with salt and pepper. Over medium-high heat, add shrimp to skillet and cook, turning once, until bright pink, about 2 minutes. Transfer shrimp to a plate with a slotted spoon. Lower heat to medium; add mushrooms to skillet and cook, stirring occasionally, until tender, 5 minutes. Add garlic and cook until golden, 1 minute. Raise heat to high, add chicken broth, and scrape bottom of skillet with a wooden spoon. Cook until broth reduces by half, 3 minutes. Return shrimp to skillet along with the lemon juice, remaining butter, and hot sauce and cook, stirring frequently, until sauce thickens, about 1 minute. Divide grits between 4 bowls; top each with shrimp and its sauce. Garnish each bowl with bacon, scallions, and lemon wedges.