For the grits
Warm grits and milk in a medium saucepan over medium heat; stir to blend. Fold in cheese and season with salt and pepper.
For the sauce
Heat oil in a large saucepan over medium-high heat; sweat onion, jalapeño and garlic until tender. Add vinegar, water, corn syrup, molasses, horseradish, lemon, anchovies, cloves, salt and pepper; bring to a boil. Cook uncovered at a rapid simmer over medium to medium-low heat until mixture is thick enough to coat the back of a spoon. Strain sauce through a fine mesh strainer into a small saucepan. Cook over low heat to reduce volume of sauce by half, until it reaches a syrupy glaze consistency. It should reduce down to 2 cups. Store the sauce in a covered container in refrigerator up to 4 weeks.
To serve, warm homemade worcestershire glaze until hot. For each 1 cup glaze, swirl in 2 tablespoons butter to finish.
For the shrimp
Heat a sauté pan over medium-high heat; add oil, bacon and mushrooms, cook until tender and reserve. Add the shrimp, being careful not to loosen the heads or tails, season with salt and pepper. Once the shrimp are almost cooked, but still slightly gray in the center, deglaze pan with wine. Allow shrimp to cook through; remove from the heat and add sauce to coat shrimp.
Place grits in center of plate. Spoon the sausage and vegetables over grits. Surround with a pool of sauce and arrange shrimp over the grits. Sprinkle with green onions.