Bring milk, water, 1 Tbsp. butter and 1 Tbsp. olive oil to a boil. Slowly stir in grits. Reduce heat and cook for about 7 minutes or until thickened, stirring often. When thickened, stir in cheese until well blended. Season with salt and pepper to taste. Cover and set aside to keep warm.
In a large skillet on medium-high heat, add sausage and cook until browned and cooked through. Push the sausage pieces to one side of the skillet. Add 1 Tbsp. butter and 1 Tbsp. olive oil to the empty side of the skillet.
In a large bowl, toss shrimp in the Cajun seasoning. Add minced garlic and shrimp to the skillet with the sausage until fully cooked. Mix the sausage and shrimp together and drizzle with lemon juice.
Place grits on individual serving plates and top with the sausage shrimp mixture and some skillet juices.