Cut bacon strips in half and wrap the shrimp individually securing with a toothpick. Over medium heat, fry the bacon and shrimp in a medium frying pan until the bacon is cooked and the shrimp are pink. Once done, remove from the pan and carefully slide each of the toothpicks out. Discard toothpicks and set shrimp and bacon aside keeping them warm.
Drain bacon grease reserving 1 tablespoon and over medium heat sauté red pepper, onion and garlic for 6 minutes or until soft. Add the vegetable broth, wine, Worcestershire and cayenne pepper. Bring to a simmer and cook until reduced by half 8-10 minutes. Add the heavy cream and 2 tablespoons of butter and stir until heated, the butter is melted and the sauce has thickened 8-10 minutes. Add the shrimp and season with salt and pepper stir to coat.
Plate warm grits and divide the shrimp and sauce evenly between the plates. Garnish with cilantro and green onions. Pass with hot sauce or additional cayenne pepper for sprinkling.