In a medium saucepan over medium high heat, bring 4 cups of water to boil. Gradually whisk in the grits. Reduce the heat to medium heat and simmer, stirring occasionally, until thickened, about 5 – 6 minutes.
Whisk in the butter, cheddar cheese, Parmesan, paprika, hot sauce and ¾ teaspoons of salt. Mix until all ingredients are well combined. Keep the grits warm in a 200-degree F oven or on the stove top over low heat until ready to serve.
Heat a large skillet over medium-high heat and cook the bacon, stirring occasionally until crispy. Transfer the bacon to a plate lined with paper towels.
Reserve about 2 tablespoons of the bacon drippings in the skillet and discard the rest (or reserve it for later use).
Add the oil to the skillet and mix it with the bacon drippings. Turn the heat to medium heat, when the oil/bacon drippings are hot, add the mushrooms and cook, stirring occasionally, until lightly browned, about 4-5 minutes. Add the shrimp and cook, stirring occasionally until almost cooked through, about 3 minutes. Add the garlic, wine, lemon juice and season with salt to taste. Cook for about 1 minute or until the liquid has almost evaporated.
Stir in the scallions and bacon. Serve immediately over warm grits.