1. Combine hot pepper sauce, wine, shallot, lemon juice and vinegar in heavy medium saucepan. Boil over medium heat until reduced to 1/2 cup, about 15 minutes. Stir in 1/2 cup cream. (Can be made 1 day ahead. Cover and refrigerate.)
2. Bring 1/2 cup cream, 5 cups water, milk and butter to simmer in heavy medium saucepan. Gradually whisk in grits. Simmer until grits are very soft and thickened, stirring frequently, about 1 hour.
3. Meanwhile, heat olive oil in heavy medium skillet over medium heat. Add sausage, both bell peppers, onion and garlic; sauté until vegetables are tender, about 8 minutes. Add shrimp, tomatoes, Cajun seasoning and Old Bay seasoning and sauté until shrimp are opaque in center, about 6 minutes. Season to taste with salt and pepper.
4. Bring hot pepper-cream sauce to simmer. Spoon grits onto 6 plates, dividing equally. Spoon shrimp mixture over grits. Drizzle hot pepper-cream sauce over and serve.
5. *Corn grits, also known as polenta, are available at Italian markets, natural foods stores and some supermarkets. If unavailable, substitute 2 cups regular yellow cornmeal, and cook about 30 minutes.
6. **A smoked pork-and-beef sausage available at specialty foods stores. Smoked bratwurst, kielbasa or smoked Hungarian sausage can be substituted.