In a small bowl, combine the paprika, cayenne, garlic powder, thyme, oregano, salt, black pepper and mix to blend.
Spritz the shrimp with oil on both sides and rub all over.
Coat the shrimp with the spice mix.
In a medium size pot, bring 2 cups of chicken broth, milk, water and salt to a boil, careful it doesn't boil over. Slowly stir in the grits and stir continuously until the grits are well mixed.
Bring the pot to a boil, reduce heat to the lowest setting, cover with a fitted lid and simmer for approximately 28 to 30 minutes, stirring after the first 5 minutes then again occasionally to prevent the grits from sticking on the bottom; adding more water if necessary.
The grits should have a smooth consistency similar to cream of wheat.
Stir in the butter and 1 ounce of the cheddar and the Parmesan cheese, remove the grits from the heat and keep warm.
Just before the grits are done, heat a large cast-iron skillet with the olive oil over medium-high.
Add the shrimp, and cook until the spices are darkened and aromatic, and the shrimp is opaque, about 2 minutes per side.
Divide the grits among 4 plates and top with remaining cheddar cheese, then nestle the shrimp on top.
Add the remaining 1/2 cup broth to the skillet to deglaze the pan and cook about 1 minute over medium heat until it reduces by half, drizzle over each plate.
Garnish the whole dish with the scallions. Serve immediately with lime wedges for serving.