Bring water, chicken stock, and milk to boil, then slowly whisk in grits, and cook for 45 minutes on low heat stirring constantly. Once grits are tender, add cheddar and parmesan. If grits are too stiff, add in ½ cup water to loosen. Taste for seasoning. If salt is needed, add ¼ tsp kosher salt or more based on taste
Sauté andouille sausage on medium heat in 1 tbsp. vegetable oil until golden brown. Remove from pan and set aside in a bowl.
Season shrimp with 2 tsp. of Cajun/Creole seasoning and sauté on medium heat in same pan as the andouille sausage. Cook for 1 minute on each side, then remove from pan and set aside.
Add onion, yellow, red pepper to pan and sauté on medium heat for 5 minutes, until tender. Add in garlic and cook for 1 minute. Add tomato paste, and cook for additional minute. Add flour and stir until incorporated, and cook for 2 minutes. If mixture is dry, then add 1 tbsp. of vegetable oil.
Add chicken stock to vegetable mixture and stir to prevent any lump from forming. Let cook for 5 minutes on medium low heat. Add heavy cream and continue to stir. Add in cayenne pepper, and season with salt and pepper to taste