Combine sausage, onion, celery, red bell pepper, Cajun seasoning, and sage in a skillet; cook and stir until sausage is cooked through and celery and bell pepper are softened, 5 to 10 minutes. Add shrimp and cook until cooked through and bright pink, about 5 minutes. Remove skillet from heat.
Whisk milk, Alfredo sauce mix, and butter together in a saucepan; bring to a boil. Reduce heat to low and simmer sauce, stirring occasionally, until smooth and thickened, about 2 minutes. Stir Parmesan cheese and garlic into sauce until cheese is melted. Stir shrimp mixture into sauce.