Preheat oven to 400 degrees F.
Place the pancetta in a small saute pan with 1/4 cup water and cook over medium heat, stirring occasionally, until rendered like bacon. Remove with a slotted spoon onto paper towel to dry.
Bring the remaining 3 cups water, bay leaves and a generous pinch of salt to a boil in a small saucepot. When the water comes to a boil, whisk in the grits. Reduce the heat to a simmer and stir occasionally. When the grits start to thicken, add 4 ounces butter and stir. Continue cooking until the grits are slightly less than the desired thickness (they will thicken more as they cool). Season with salt and pepper, cover and leave in a warm spot on the stovetop.
Peel the mirlitons (chayotes), split in half and removed the seed from each half. Cut each half into 3 equal lengthwise pieces. Toss in a bowl with 1 tablespoon vegetable oil, salt, pepper, and 1/2 teaspoon cayenne pepper. Roast in the oven on a baking sheet until just tender, about 15 to 20 minutes.
Heat two medium saute pans on high heat. Add 1 ounce (2 tablespoons) vegetable oil to each pan. Season the shrimp with salt and pepper and evenly divide the shrimp between the two pans. Allow to sear for 1 minute then flip over. Cook for 30 seconds on the other side. Drop the shrimp onto a baking sheet and finishing cooking in the oven for 3 to 4 minutes.
Evenly divide the wine, cream, pancetta, sun-dried tomatoes and remaining 4 ounces butter between the two pans. Reduce the mixture over high heat until it becomes a sauce consistency, swirling often.
To plate, add the roasted mirlitons (chayotes) fanned out on the far side of the plate, the grits in the middle and the shrimp neatly arranged in front of the grits in rows. Spoon the sauce evenly over the shrimp and garnish with chives or parsley, if desired.