Bring broth and salt to a boil in a heavy saucepan over medium-high heat. 

Whisk the grits into the boiling broth, and then whisk in half-and-half. Reduce heat to medium-low and simmer, stirring occasionally, until grits are thickened and tender, about 15 to 20 minutes. 

Mix the cheese into the grits; stir until the cheese is melted and the grits are creamy and light yellow.

Set aside and keep warm. 

Season the shrimp with salt and cayenne pepper. Add lemon juice, toss to combine, and set aside to marinate until needed. 

Place the sausage slices in a large skillet over medium-high heat. Cook, stirring occasionally, until browned, 5 to 8 minutes. Remove the sausage from the skillet. 

Add bacon to the same skillet. Cook over medium-high heat until evenly browned, about 5 minutes per side. Transfer the bacon to paper towels to drain, leaving the bacon drippings in the pan. Chop or crumble the bacon when cool enough to handle. 

Meanwhile, add the bell peppers, onion, and garlic to the bacon drippings; cook and stir until the onion is translucent, about 8-10 minutes. 

Stir the cooked sausage and marinated shrimp into the skillet with the cooked vegetables. Turn off the heat and set it aside. 

In a small saucepan over medium heat, melt the butter. Whisk in the flour, stirring to create a smooth roux. Turn the heat to low and cook, stirring constantly, until the mixture is medium brown in color, similar to beef gravy, 8 to 10 minutes. Watch carefully; the mixture burns easily. 

Pour the roux over the sausage, shrimp, and vegetables. Place the skillet over medium heat, add chicken broth, bacon, and Worcestershire sauce, and stir to combine. Cook until sauce thickens up and shrimp turn opaque and bright pink, about 8 minutes. 

To serve, spoon some of the grits onto plates and serve the shrimp mixture over top.