In a heavy-duty 4- to 5-quart pot, heat 2 Tbs. of the oil over medium heat. Add the leeks and 1/4 tsp. salt and cook, stirring occasionally, until softened, 4 to 5 minutes. Add the garlic and cook, stirring, for another 30 seconds. Add the chicken broth and 1/2 tsp. salt, cover, and bring to a boil over high heat. Whisk in the grits, return to a boil, then reduce the heat to medium low and cook, partially covered, stirring frequently, until the broth has been absorbed and the grits are thick, about 5 minutes. Add the cheese and stir to melt. Season to taste with salt and pepper, remove from the heat, cover, and keep warm.
In a 12-inch nonstick skillet, cook the pancetta in the remaining 1 Tbs. oil over medium-high heat, stirring occasionally, until golden and starting to crisp, about 5 minutes.
Meanwhile, pat the shrimp dry and put them in a large bowl. Sprinkle with the cayenne and 1/4 tsp. black pepper and toss to combine.
Add the green pepper to the skillet and cook, stirring, until softened, 3 to 4 minutes. Add the shrimp and cook, stirring occasionally, until pink and just cooked through, 2 to 3 minutes. Stir in the parsley. Distribute the grits among 4 shallow bowls and serve the shrimp mixture over the grits.