Preheat oven to 350 and spray a baking dish with non-stick cooking spray. Set this aside.
Combine chicken broth, milk, 1 1/2 teaspoons of salt, and cayenne in a saucepan and bring to a simmer.
Slowly whisk in the grits and simmer until the grits start to cook, about 20 minutes. Stir in the butter and cool slightly then add the cheese and beaten egg and transfer the grits to a prepared baking dish.
Bake the grits at 350-F for about 60 minutes or until set and lightly brown on top.
Meanwhile, make the shrimp topping.
Cook the bacon in a large skillet until crisp, then drain it on paper towels and remove and discard all but 4 tablespoons of bacon fat.
Add the onion and bell pepper to the skillet and cook until softened.
Add the garlic and cook an additional minute. Turn off the heat.
Add the flour and stir to combine.
Add the wine and broth and whisk well to combine then turn the heat on low and bring to a simmer to let it thicken. Whisk while it thickens.
Add the shrimp, parsley, thyme, pepper, cayenne, heavy cream and corn niblets and bring the temperature back to a simmer until the shrimp are cooked through.
Spoon the shrimp mixture over the top of the grits casserole and sprinkle with sliced green onions and reserved bacon.