Bring the water to a boil in a saucepan, then stir in the salt.
Slowly sprinkle in the grits while stirring to avoid lumps. Lower the heat and let them simmer, stirring now and then, until thick.
Take the grits off the heat and mix in the butter, black pepper, cheddar, Parmesan, and green onions until creamy.
Heat the oven to 400°F while you season the shrimp.
In a bowl, mix olive oil with all the spices, then gently toss the shrimp until evenly coated.
Lay the shrimp in a single layer on a foil-lined baking sheet and roast until pink and cooked through.
Spoon the shrimp over the warm grits and finish with extra Parmesan and green onions before serving.