For the compound butter and shrimp. In a medium bowl, add the butter, seafood seasoning, scallions, garlic and lemon zest and mash together until combined. Scrape the mixture into plastic wrap and make into a log, or cover it in the bowl. Refrigerate at least 30 minutes.
Preheat the oven to 400 degrees F.
Divide the shrimp into 2 foil packets, top each with 2 thick slices of the compound butter, fold up and bake for 8 to 10 minutes.
For the grits. In a large pot on medium-high heat, add the heavy cream, a pinch of salt, a few grinds of black pepper and 2 cups water. Bring to a gentle boil, then add the grits and cook, stirring, until thickened, about 5 minutes. Stir in the cheese.
Serve the grits in a bowl topped with a tablespoon or so of the compound butter and the shrimp. Serve with lemon wedges for squeezing.