Cook the shrimp according to the package instructions.
Meanwhile, bring 4 cups water to a boil in a medium saucepan over medium-high heat. Add the grits, lower the heat to medium and cook, stirring occasionally, until thickened, about 5 minutes. Stir in the mozzarella, 1 teaspoon salt and several grinds of black pepper. Cover and keep warm over low heat.
Combine the butter and hot sauce in a small microwave-safe bowl and microwave until the butter is melted and the mixture is hot, about 1 minute. Whisk to combine.
Divide the grits among 4 bowls and top with the shrimp. Drizzle with the warm spicy butter and top with the celery and blue cheese.