For the bacon confit: Blot the bacon with paper towels and place in a small roasting dish Combine the cinnamon, cloves, pepper and thyme in a small bowl. Rub the bacon with the spice mixture. Cover and refrigerate for at least 8 hours and up to 12 hours.
Melt the bacon fat in a medium saucepan over medium-low heat. Add the bacon and cook slowly until golden brown and crisp on one side, about 10 minutes. Turn the bacon and increase the heat to medium-high. Cook the bacon until crisp, about 10 more minutes. Remove with a slotted spoon to a bowl, drizzle with a splash of vinegar and garnish with parsley. Reserve the bacon fat for the mustard greens.
For the roasted tomatoes: Preheat the oven to 325 degrees F. Mix together the oil, thyme and some salt and pepper. Place the tomatoes in a baking dish and drizzle with the oil mixture. Then sprinkle with the sugar. Bake the tomatoes until they are completely softened and start to wrinkle, 30 to 40 minutes.
For the cheese grits: Bring 6 cups of water and the milk to a boil in a medium saucepan and season with salt and pepper. Slowly whisk in the grits and bring back to a boil. Reduce the heat to medium and cook, whisking constantly. Cook until mixture is thick and tender, about 30 minutes, adding more water, if needed. Mix in the Cheddar and Pecorino-Romano until thoroughly incorporated. Season with some salt and pepper. Cover and keep warm until ready to serve.
For the sauteed baby mustard greens: Heat the butter and 2 tablespoons of the reserved bacon fat in a large saute pan over medium heat. Add the red pepper flakes and garlic and cook until the garlic is softened, about 1 minute. Add the mustard greens and season with salt and pepper. Toss just to coat with the fat. Add a splash of water and cook until the greens are just wilted, about 2 minutes.
For the shrimp: Heat the oil in a large saute pan over high heat until it begins to shimmer. Add 8 to 10 shrimp, sprinkle with salt and pepper. Cook until well-seared and crisp but just cooked through, about 2 minutes per side. Repeat with the remaining shrimp.
On a serving platter or individual plates, spoon and slightly spread a mound of hot grits (if they have gotten too stiff, thin them a bit by whisking in hot water over low heat). Spoon the tomatoes on top, then add the greens and bacon. Top with the shrimp.