Devein shrimp: Using a paring knife or a pair of kitchen shears, make a shallow cut along the back of the shrimp (the curved side), in the middle, from the tip to where the tails begin. Use the tip of your knife or shears to remove the dark vein. Leave shells on the shrimp.
In a medium bowl, whisk together olive oil, lemon juice, garlic, herbs, and spices. Add shrimp and toss to coat. Cover with plastic wrap and marinate, refrigerated, 1 hour.
Preheat grill over medium-high flame for about 15 minutes. Remove shrimp from marinade, shaking off excess, and thread onto skewers. Discard marinade. Oil grill grates and cook shrimp 2-3 minutes per side until grill marks appear and shrimp are just transparent. Do not overcook.
Peel shells from shrimp before serving.
Bring 4 cups of water to a boil with a ½ teaspoon kosher salt. Slowly whisk in grits. Reduce heat to a simmer and cook for about 40-50 minutes, until tender and creamy, whisking often. Add additional hot water to the pan if the grits start getting too thick before they're tender.*
Stir in unsalted butter and cheddar until melted and creamy. Season to taste with salt.
Stir together 6 tablespoons melted butter, minced garlic, paprika, cayenne pepper, kosher salt, and sliced scallions.
Ladle grits into serving bowls. Top each portion with shrimp and drizzle with the scallion butter. Serve immediately.
