In a saute pan, over medium heat, melt the butter. Stir in the flour and cook for 4 to 6 minutes for a medium brown roux, about the color of peanut butter. Add the onions, peppers, and celery. Season with salt and cayenne. Continue cooking until the vegetables are wilted, about 8 minutes. Add the sausage and continue to cook for 2 minutes. Season the shrimp with salt and cayenne. Add the shrimp. Stir in the clam juice and cream. Bring the liquid to a simmer and continue to cook for 8 to 10 minutes, until the mixture coats the back of a spoon. Remove from the heat and stir in the green onions. To serve, spoon the grits in the center of each serving bowl. Spoon the shrimp mixture over the grits. Garnish with parsley.
In a large saucepan, over medium heat, combine the water, milk, salt, pepper and 2 tablespoons of the butter. Bring the liquid to a gentle boil. Stir in the grits. Cook for 2 hours, stirring occasionally. (The grits will stick to the bottom of the pan, so make sure not to scrape the bottom of the pan. If the grits absorbed all of the water, add some hot water to thin out.) Remove the pan from the heat and stir in the remaining 2 tablespoons butter and cheese. The grits can either be served immediately or prepared in advance and reheated.
If preparing in advance, grease a pan with a teaspoon of butter. Pour the grits into the pan and reheat in a 400 degree F for 15 minutes.