Put the shrimp peels in the 3-quart pot and cover with 3 cups of water. Bring to a boil over medium heat, then cover and simmer for about 15 minutes. Strain well and reserve the broth.
While the shrimp broth simmers, cook the bacon in the 6-quart pot over medium high heat until the fat render and the bacon becomes tender, about 5 minutes. Stir in the onions, celery, and bell pepper and sauté until the vegetables soften, about 8 minutes. Stir in the diced Roma tomatoes, 2 cups of the shrimp broth, Creole seasoning, kosher salt, and pepper. Bring to a boil, then continue to cook covered over medium low heat until the tomatoes fall apart and make broth, about 1 hour or more as desired. About 10 minutes before you are ready to serve, add the peeled shrimp and cook until the shrimp are pink and cooked through, about 10 minutes.
While the shrimp gravy cooks, heat the the chicken broth, low-fat or fat-free lactose-free milk, salt, and pepper in the 4-quart pot just until it boils. Whisk in the grits, continually stirring to break up any lumps. As soon as it comes to a boil, reduce heat to low and cover. Cook, stirring occasionally, until the grits soften and soak up the liquids. Add a little more milk as necessary if the mixture becomes too thick. Stir in the Parmesan cheese just before serving.
Serve in bowls with the shrimp gravy ladled over a helping of the grits.