1Bring milk and chicken broth to a simmer in a saucepan over medium-low heat. Slowly whisk in grits, stirring constantly to avoid lumps. Reduce heat to low and cook for 20 minutes, stirring frequently, until grits are creamy and thickened.
2While grits cook, fry bacon in a large skillet over medium-high heat until crispy, about 6 minutes. Transfer to a paper towel and chop when cool. Reserve 2 tbsp bacon fat in the skillet.
3Add diced onion to the bacon fat and cook 3 minutes until softened. Stir in garlic and cook 1 minute until fragrant.
4Add shrimp to the skillet, season with salt, pepper, and cayenne, and cook 2 minutes per side until just starting to turn pink. Remove shrimp to a plate.
5Add cherry tomatoes to the skillet and cook 2 minutes. Return shrimp to the skillet, add fresh thyme, bacon, and lemon juice. Toss to combine and warm through, about 1 minute. Taste and adjust seasoning.
6Finish grits with butter and shredded cheddar, stirring until melted and smooth. Season with salt and pepper to taste.
7Divide grits among bowls and top with shrimp and sauce. Serve immediately.