Chef Michael Reed gives us a lesson on why it's worth it to take the time to peel and devein your own shrimp: He cooks the shrimp shells along with vegetables and herbs to create a deeply-flavorful stock, which he then uses as a sauce for these shrimp and grits. Pan-fried shrimp are spooned on top of a mound of cheesy grits, and topped with the rich shellfish stock as the finishing touch.
In a medium bowl, mix shrimp, 2 tablespoons olive oil, paprika, cayenne pepper, 1 teaspoon salt, and pinch of black pepper to coat shrimp. Cover and refrigerate while making stock and grits.
In a medium saucepan, heat oil and butter over medium heat. Add shrimp shells, onion, leek, celery, carrot, fennel, garlic, thyme, bay leaf, and coriander. Cook without stirring, until lightly browned on bottom, about 5 minutes. Add 6 cups of water, white wine, and tomato paste. Bring to a boil, then reduce heat and simmer for flavors to meld, 45 minutes to 1 hour. Strain through a sieve, pressing solids to extract as much liquid as possible.
Bring chicken stock, milk and salt to a boil in a large, heavy-bottomed saucepan over medium-high heat. Gradually whisk in grits. Reduce heat to low and cover grits. Cook, whisking every 3 to 4 minutes to prevent grits from sticking or forming lumps, making sure to get into corners of pot when whisking, until creamy and tender, 20 to 25 minutes. Season with salt. Whisk in both cheeses. Remove from heat and let cheese melt into grits. Add butter and white pepper, if using. Whisk until butter is melted.