How to Make It
Preheat oven to 350°F. Coat an 11- x 7-inch baking dish with cooking spray. Bring milk and 2 cups of the heavy cream to a boil in a medium saucepan over medium-high. Stir in grits and butter; let mixture return to a boil, whisking often. Reduce heat to medium; cook, whisking constantly, until grits are tender, 5 to 7 minutes. Remove from heat; stir in egg, cheese, and 1 teaspoon of the salt. Spoon mixture into prepared baking dish. Cover; bake until mixture is set, 35 to 40 minutes.
Meanwhile, cook bacon in a large saucepan over medium-high, stirring occasionally, until crisp, about 8 minutes. Drain on paper towels, reserving 3 tablespoons drippings in pan. Add onion and bell pepper to pan. Cook over medium-high, stirring often, until softened, about 3 minutes. Add garlic; cook, stirring constantly, 30 seconds. Add flour; cook, stirring constantly, 1 minute. Add shrimp; cook, stirring constantly, until shrimp are pink, about 3 minutes. Add wine; cook, stirring constantly, until thickened, 2 minutes. Stir in broth, parsley, thyme, black pepper, cayenne pepper, and remaining 1⁄4 cup heavy cream and 1⁄2 teaspoon salt.
Spoon shrimp mixture over baked grits casserole using a slotted spoon; sprinkle with scallions and cooked bacon. Pour shrimp gravy from pan into a serving bowl; serve alongside casserole.