Bring the water to a boil in a medium saucepan. Slowly whisk in the grits and reduce the heat to low. Cook, stirring occasionally, until tender and creamy, 25 to 30 minutes.
Stir in the heavy cream and cheddar. Season with Cajun seasoning and black pepper. Keep warm.
Season the shrimp with salt, black pepper, onion powder, garlic powder, paprika, and cayenne. Toss with neutral oil.
Heat the olive oil in a large skillet over medium-high heat. Add the shrimp and cook until browned and just cooked through, about 2 minutes per side. Transfer to a plate.
Add the onion, bell pepper, and jalapeño to the skillet. Cook until softened, about 5 minutes. Stir in the tomato paste and garlic and cook until fragrant, 1 minute.
Add the heavy cream and simmer until the sauce thickens slightly, 3 to 5 minutes. Season with Cajun seasoning and salt.
Divide the grits among bowls. Top with shrimp and spoon the sauce over the top. Finish with cheddar and scallions.