Cook bacon in a deep 12-inch skillet over medium heat for 7 to 8 minutes until crisp. Transfer to a plate and leave 1 tablespoon drippings in the skillet.
Pat shrimp dry and season with paprika, salt and pepper. Cook in the hot drippings for 1 to 2 minutes per side until opaque and 145°F, then transfer to a clean plate.
Lower the heat and stir garlic into the skillet for 20 seconds. Pour in broth and milk and bring just to a gentle simmer, scraping the bottom clean.
Whisk in grits in a slow stream. Cook over low heat for 5 to 7 minutes, stirring frequently, until tender and creamy; do not let the milk boil hard.
Remove from the heat and stir in butter, cheddar and scallions. Fold in lemon juice, arrange shrimp over the grits and scatter bacon over the top.
Cover off the heat for 2 minutes to warm the shrimp, then divide among 4 shallow bowls.