Bring water to a boil in a medium saucepan. Slowly whisk in the grits and reduce heat to low. Simmer for 20-25 minutes, stirring frequently.
Add the cream and butter to the grits, stirring until well combined. Cook for another 10 minutes, then stir in the cheese. Season with salt and pepper, then cover and keep warm.
While the grits cook, crisp the diced bacon in a large skillet over medium heat. Remove bacon with a slotted spoon and set aside.
Season shrimp with Cajun seasoning. In the same skillet with bacon fat, cook shrimp for 2-3 minutes per side until pink. Remove and set aside.
Add onion to the skillet and cook until softened, about 3 minutes. Add garlic and cook for another minute.
Pour in chicken broth and lemon juice, scraping up any brown bits from the bottom of the pan. Simmer until slightly reduced, about 5 minutes.
Return shrimp and bacon to the pan, tossing to coat in the sauce.
Serve the shrimp mixture over warm grits, garnished with fresh parsley.