Start by preparing the shrimp: Heat a large nonstick skillet over medium heat. Add the diced bacon and cook until it becomes crispy, stirring occasionally, about 7 minutes. Next, toss in the shrimp, season with Cajun seasoning and salt, and increase the heat to medium-high. Cook the shrimp until they turn mostly pink but are not fully done, approximately 2 minutes, stirring occasionally. Transfer the shrimp and bacon mixture to a bowl and set aside, keeping the skillet on the stove (do not clean it).

In the same skillet, melt the butter over medium heat. Add the light green parts of the scallions, diced celery, bell pepper, and garlic. Cook until the vegetables soften, stirring occasionally, about 4 minutes. Sprinkle the flour over the vegetables and stir until it is fully incorporated. Gradually whisk in the chicken broth, Worcestershire sauce, and hot sauce, bringing the mixture to a boil. Lower the heat and let it simmer uncovered until it thickens slightly, about 5 to 7 minutes. Set the skillet aside while you prepare the grits.

For the grits, bring the milk and salt to a boil in a medium saucepan over medium heat. Slowly whisk in the grits, reducing the heat to low. Continue whisking often until the grits become thick and creamy, approximately 5 minutes. Remove from the heat, stir in the shredded Cheddar cheese, and adjust the salt to taste if needed. Keep the pan covered to maintain warmth until ready to serve.

Return the skillet with the vegetable and sauce mixture to medium heat and bring to a simmer. Add the shrimp and bacon back into the skillet, along with any accumulated juices. Stir frequently and cook until the shrimp are completely cooked through, about 2 to 3 minutes. Adjust the seasoning with salt and pepper to taste. Garnish with the dark green parts of the scallions.

To serve, divide the grits among serving bowls, then spoon the shrimp and sauce over the grits. Offer additional hot sauce on the side if desired.