Cook bacon in deep 12-inch skillet over medium 7 to 8 minutes until crisp. Plate; leave 1 tablespoon drippings.
Pat shrimp dry; season with paprika, salt, and pepper. Cook in drippings 1 to 2 minutes per side until opaque and 145°F. Transfer to clean plate.
Lower heat; stir garlic 20 seconds. Add broth and milk; gently simmer, scraping bottom clean.
Slowly whisk in grits. Cook over low 5 to 7 minutes, stirring frequently, until tender and creamy. Do not hard-boil milk.
Remove from heat; add butter, cheddar, and scallions. Fold in lemon juice; top with shrimp and bacon.
Cover off heat 2 minutes to warm shrimp; divide among 4 shallow bowls.