Bring milk and 1 1/2 cups of water to a boil in a large pot. Add grits, reduce heat to medium-low, and stir constantly to make sure they don't burn. Add butter and cover. Let simmer, stirring occasionally so they don't burn, until water is absorbed and grits have thickened, about 30 minutes.

Meanwhile, place bacon in a large pot and cook over medium heat, turning occasionally, until evenly browned, about 10 minutes. Drain bacon slices on a paper towel-lined plate, leaving rendered fat in the pan.

Heat bacon fat in the same pan over medium-high heat. Cook kielbasa in the hot fat until browned, 5 to 7 minutes. Transfer kielbasa to the plate with bacon. Add onion to the pan and cook until tender, about 5 minutes. Add bell pepper and cook for 3 to 4 minutes.

Season shrimp with Creole seasoning, salt, and pepper; coat with flour and add to the pan. Cook until lightly pink, 3 to 4 minutes; the flour will absorb the fat to make a gravy. Add remaining water. Cook over medium-high heat, stirring, until thickened, 15 to 20 minutes. Add Worcestershire and ketchup and mix; it should give the gravy a darker color.

Reduce heat and add bacon and kielbasa to heat through, 3 to 5 minutes. Serve with grits.