Cook the diced bacon in a large nonstick skillet over medium heat until crisp, about 7 minutes. Transfer to a plate with a slotted spoon, leaving drippings in the pan.

Season the shrimp with Cajun seasoning and salt. Add to the skillet, increase heat to medium-high, and cook until mostly pink, about 2 minutes. Transfer shrimp and bacon to a bowl.

Melt the butter in the same skillet. Add the light green scallion parts, celery, bell pepper, and garlic. Sauté for about 4 minutes until softened.

Sprinkle flour over the vegetables and stir to combine. Whisk in the chicken broth, Worcestershire sauce, and hot sauce. Bring to a boil, then simmer until slightly thickened, 5 to 7 minutes.

Meanwhile, bring the milk and salt to a boil in a medium saucepan. Slowly whisk in the grits, stirring constantly. Reduce heat to low and cook, whisking often, until thick and creamy, about 5 minutes. Remove from heat and stir in the cheddar cheese.

Return the sauce to medium heat. Add the shrimp and bacon with any collected juices and cook until the shrimp are cooked through, 2 to 3 minutes. Season to taste.

Divide the cheesy grits among bowls, spoon the shrimp and sauce on top, and garnish with the dark green scallion parts. Pass hot sauce at the table.