Combine seasoning ingredients; mix well. Coat shrimp on both sides with seasoning mix.
Line baking pan with aluminum foil. Spray with nonstick cooking spray. Bake shrimp 4 minutes; turn. Bake 1 to 2 minutes more or until shrimp are opaque, and cooked through.
Place grits in 4-cup microwave-safe bowl. Add water; stir to combine. Microwave on HIGH 4 minutes, stirring after 3 minutes, or until thickened as desired. Add cheese; stir until cheese melts. Serve topped with shrimp.