Bring 3 cups of the chicken stock to a boil in a saucepan. Slowly stir in the grits. Return to a boil and cook for 3 to 4 minutes. Turn down the heat and stir in the pepper jack, Cheddar and mascarpone. Cook for another 3 to 4 minutes. Stir in 2 tablespoons of the butter and keep warm. Heat the remaining 2 cups stock in a separate saucepan until hot.
Meanwhile, heat the oil and remaining 2 tablespoons butter in a large skillet over medium-high heat. Season the shrimp with the Cajun seasoning and some salt and pepper. Add the shrimp to the skillet and cook for 1 to 2 minutes on each side, then remove and set aside. (The shrimp will finish cooking in the sauce.)
Add the bacon, onion, red pepper and jalapeno to the skillet and season with salt and pepper. Cook until beginning to brown, about 3 minutes. Add the tomato paste and cook for 1 minute. Stir in the hot stock and add hot sauce to taste. Return the shrimp to the skillet with any juices that have accumulated. Cook until the shrimp are just cooked through, another 2 minutes. Add the lemon juice. Taste and adjust the seasoning.
To serve, spoon the shrimp and sauce over the grits and garnish with scallions.