Bring the chicken stock to a boil in a pot. Add the grits and whisk. Reduce the heat to low and cook until tender, about 5 minutes. Then add the butter, heavy cream, cream cheese, and cheddar. Stir until smooth. If necessary, add a little water to thin it out a little. Set aside.
Toss the shrimp with olive oil and half of the Cajun seasoning. Cook the shrimp in a pan over medium heat for 2-3 minutes per side. Transfer the shrimp to a plate and tent with foil.
In the same pan, add butter and scallions. Cook over medium heat until softened, about 3 minutes. Add the garlic and cook until fragrant, 1 minute. Add the remaining cajun seasoning, Calabrian peppers and their oil. Cook for another minute.
Add chicken stock and scrape up any brown bits from the pan. Add lemon, worcestershire and cream. Whisk until it comes together as a sauce. Taste and adjust with salt and pepper as needed.
Put the shrimp back in the pan and toss.
To serve, put a tablespoon of grits on a small serving dish or spoon. Add a scoop of the chili sauce and a shrimp. Garnish with parsley.