Step 1: In a medium saucepan, bring 4 cups chicken broth to a boil. Whisk in grits, reduce heat to low, and simmer for 20-25 minutes, stirring occasionally.
Step 2: While grits cook, cook chopped bacon in a large skillet over medium heat until crispy, about 5-7 minutes. Remove bacon with a slotted spoon, leaving drippings in pan.
Step 3: Add onion, bell peppers, and garlic to bacon drippings. Cook until softened, about 5 minutes.
Step 4: Sprinkle flour over vegetables and cook for 1 minute, stirring constantly. Gradually whisk in 2 cups chicken broth until smooth.
Step 5: Add smoked paprika, cayenne (if using), salt, and pepper. Simmer gravy for 5 minutes until thickened.
Step 6: Add shrimp to gravy and cook until pink and opaque, about 3-4 minutes. Stir in cooked bacon.
Step 7: When grits are done, stir in heavy cream and cheddar cheese until melted and creamy. Season with salt and pepper.
Step 8: Serve grits in bowls topped with shrimp gravy. Garnish with fresh parsley.