In a large, heavy-bottomed skillet, cook the chopped bacon over medium heat until crispy, about 8-10 minutes. Use a slotted spoon to transfer the bacon to a paper towel-lined plate, reserving 2-3 tablespoons of bacon fat in the skillet. While bacon cooks, pat shrimp dry and toss in a bowl with smoked paprika, garlic powder, a pinch of salt, and pepper.

In a medium saucepan, bring the milk, water (or broth), and a generous pinch of salt to a simmer. Slowly whisk in the grits to prevent lumps. Reduce heat to low, cover, and cook for 20-25 minutes, whisking vigorously every 5 minutes, until thick and tender. Remove from heat, stir in the butter and grated cheddar until melted and smooth. Season to taste and keep covered.

Return the skillet with bacon fat to medium heat. Add the chopped onion and bell pepper and cook until softened, about 5-7 minutes. Add the minced garlic and cook for another minute until fragrant.

Sprinkle the flour over the cooked vegetables and stir constantly for one minute to cook out the raw taste. Slowly pour in the white wine, scraping the bottom of the pan to deglaze. Let the wine reduce by half. Whisk in the chicken broth and Worcestershire sauce, bring to a simmer, and cook for 3-5 minutes until slightly thickened.

Add the seasoned shrimp to the simmering sauce. Cook for 2-3 minutes, stirring, until they are pink, opaque, and curled. Turn off the heat and stir in the fresh lemon juice and chopped parsley.

To serve, spoon a generous amount of cheesy grits into shallow bowls. Ladle the shrimp and sauce over the top. Garnish with the reserved crispy bacon and sliced green onions. Serve immediately.