Heat a medium-sized saucepan to medium-high heat and add bacon slices. Cook until crispy, about 10 minutes.
Add in the garlic, onion, bell pepper, smoked paprika, parsley, Cajun seasoning, and salt and pepper. Cook until vegetables are tender, about 5 minutes. Add the shrimp and cook for about 2 minutes or until they turn pink.
In a saucepan, pour the chicken stock and bring to a boil.
Reduce the heat to medium-low and add in water, milk, quick grits, butter, cheddar, and bay leaf.
Stir the ingredients together until fully combined. Cook for about 10 minutes or until the mixture starts to thicken up and the grits are cooked through.
Add in the cooked bacon slices and the shrimpson the top of the broth mixture.