Cook grits according to package instructions. Stir in cheeses and butter, plus salt and pepper to taste. Keep warm.
Heat oil in a large frying pan over medium heat. Sauté onion until it begins to soften but not brown, 2 to 3 minutes. Add peppers and a pinch each salt and pepper, then cook until tender-crisp, 3 minutes. Add garlic and cook until fragrant, 1 minute. Stir in brown sugar and wine. Increase heat and simmer until liquid is reduced by half. Add shrimp; cook until just curled and pink, 3 to 5 minutes. Stir in lemon juice and salt and pepper to taste.
Stir enough hot water into grits to make them soft and spoonable. Spoon 2 tbsp. warm grits onto each of 10 to 12 small plates. Top each with 2 shrimp, 1 tbsp. pepper-wine sauce, a sprinkle of parsley, a few green onion slices, and, if desired, Brown-Sugar Bacon Bites, crumbled.
Note: Nutritional analysis does not include Brown-Sugar Bacon Bites.