Bring water to a boil in a pot. Add salt and pepper. Stir in grits; reduce heat and let simmer until water is absorbed, 20 to 25 minutes. Remove from heat and stir in Cheddar cheese and butter.
Rinse shrimp and pat dry.
Place bacon in a large skillet and cook over medium-high heat, turning occasionally, until evenly browned, about 10 minutes. Drain bacon slices on paper towels.
Heat remaining bacon grease in the skillet over medium heat. Cook shrimp until they are bright pink on the outside and the meat is opaque, 3 to 4 minutes. Add bacon, scallions, parsley, garlic, and lemon juice. Saute for 3 minutes.
Spoon grits into a serving bowl. Add shrimp mixture and mix well. Serve immediately.