Bring 4 cups of water to a boil in a medium saucepan. Stir in the grits and salt; reduce heat and cook until thickened, about 5 minutes.

Stir in the butter, heavy cream, and cheddar cheese until melted and smooth. Set aside.

In a large skillet, cook the bacon until crisp. Remove bacon and drain on paper towels.

In the same skillet, add vegetable oil and sauté the red bell pepper, green onions, and garlic until softened.

Add the shrimp, Cajun seasoning, cayenne pepper, broth, Worcestershire sauce, and lemon juice. Cook until shrimp are opaque and cooked through, about 3-4 minutes.

Serve the shrimp mixture over the grits and top with crumbled bacon.