Peel shrimp, reserving shells; devein shrimp, if desired. Bring shells and water to a boil in a medium saucepan over medium-high heat; reduce heat to low, and cook 20 minutes. Pour shrimp broth through a colander over a large bowl, pressing shells with back of a spoon; discard shells.
Heat butter in a Dutch oven over medium heat; stir in flour and cook, stirring constantly until flour is caramel colored (about 8 to 10 minutes). Add onion, celery, green pepper, and garlic, and cook, stirring often, 5 to 7 minutes or until tender. Stir in Creole seasoning, lemon juice, and Worcestershire sauce. Add the tomato paste and stir until it is evenly coating all of the vegetables. Slowly add 2 cups shrimp broth, stirring constantly to create a thick sauce. Add the bay leaf, reduce the heat to low, and cook, stirring occasionally, for 45 minutes. Add the shrimp, and cook 10 minutes, stirring in ¼ to ½ cup remaining shrimp broth to reach desired consistency.
Meanwhile, bring milk, water, and salt to a boil in a saucepan over high heat. Gradually stir in grits. Reduce heat to low, and simmer, stirring occasionally, 10 to 12 minutes or until thickened. Serve Creole Shrimp over grits. Sprinkle with chopped parsley, if desired.
Note: I found Creole seasoning at my local grocery store in the International aisle, in the Cajun section.