Bring milk to a gentle simmer in a saucepan. Whisk in grits and cook, stirring often, for 20-25 minutes until thick and creamy.
Stir in butter and cheddar until melted and smooth. Season with salt and keep warm.
Toss shrimp with Cajun seasoning until evenly coated.
Melt butter in a large skillet over medium-high heat. Add shrimp and garlic, and cook for 2-3 minutes per side until pink and just cooked through.
Remove from heat and stir in lemon juice and parsley.
Spoon the shrimp and pan sauce over bowls of cheesy grits.
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