To a large saucepan, add the water, salt and pepper. Bring to a boil over high heat. When the water comes to a boil, take your whisk in one hand and your grits in the other. Whisking continually, slowly pour in your grits (this is very important - you don't want lumpy grits!). Reduce heat to medium-low, and cook, stirring occasionally, until grits have thickened, about 5 minutes. Stir in the butter, parmesan, and cream until smooth and creamy. Cover and keep warm.
Meanwhile, pat the shrimp dry and season with salt and pepper. In a large skillet over medium-high heat, melt the butter. Add the shrimp, garlic, and cayenne. Cook, tossing, until the shrimp are pink, about 4 minutes. Remove from the heat and add the water, lemon, and parsley. Season with salt and pepper to taste.
Portion out the grits into bowls (more cream or milk can be added if the grits tightened up while waiting- you want them creamy and loose). Then spoon the shrimp and its juices over top of the grits. Sprinkle with chopped parsley and serve with a lemon wedge.