Cook the Grits:
In a medium saucepan, bring 4 cups of water to a boil. Slowly whisk in the grits and reduce the heat to low. Cook, stirring occasionally, until the grits are thick and creamy, about 20-25 minutes.
Stir in the shredded cheddar cheese, heavy cream, and butter. Season with salt and pepper to taste. Keep warm.
Prepare the Shrimp:
In a mixing bowl, toss the shrimp with Cajun seasoning until evenly coated.
Heat the olive oil in a large skillet over medium-high heat. Add the shrimp and cook until they are pink and opaque, about 2-3 minutes per side. Remove the shrimp from the skillet and set aside.
Cook the Vegetables:
In the same skillet, add the diced bell pepper and onion. Cook until the vegetables are tender, about 5 minutes. Add the minced garlic and cook for an additional 1 minute.
Make the Sauce:
Pour in the chicken broth and lemon juice, scraping up any browned bits from the bottom of the skillet. Bring to a simmer and cook until the sauce has reduced slightly, about 2-3 minutes.
Combine Everything:
Return the cooked shrimp to the skillet and toss to coat in the sauce. Cook until the shrimp are heated through, about 1-2 minutes. Stir in the chopped parsley.
Serve:
Spoon the creamy grits into bowls and top with the Cajun shrimp and vegetables. Garnish with additional chopped parsley if desired.