Bring the water to a boil; add the grits and salt. Cook for 5-7 minutes or until tender. Remove from heat, stir in butter, cream, and cheddar cheese.
In large skillet over medium heat cook bacon until crispy. Place on paper towels to drain; reserving bacon grease. Coarsely chop bacon once cooled.
Add shrimp to bacon grease over medium heat. Sprinkle with Cajun seasoning and cayenne pepper. Flip shrimp after one minute, and cook for an additional one minute. Remove to plate.
Add vegetable oil to skillet over medium heat. Add red pepper and cook until slightly tender; 2-3 minutes. Reduce heat to medium-low.
Add green onions and garlic and cook for 1 minute. Add chicken broth to skillet and stir. Return shrimp and bacon to the skillet and heat for 1 minute.
Spoon shrimp mixture over cheesy grits. Serve immediately.