01For the roasted tomato: heat oven to 450 degrees. Toss tomato halves in a bowl with garlic, olive oil, salt and pepper. Transfer, cut side up, to a baking sheet. Roast until collapsed and lightly browned, 25 to 30 minutes, and set aside.
02For the fennel: In a small saucepan, combine the fennel, half of the reserved fronds, and just enough broth or water to cover. Add butter and season with salt and white pepper. Bring to a boil, reduce heat to very low, and simmer until tender when pierced by a fork, 8 to 10 minutes. Transfer fennel to a plate, discard cooked fronds and reserve cooking liquid.
03For the grits: Follow package instructions for cooking the grits, seasoning with salt to taste, and adding the bay leaf halfway through cooking. At the end of cooking, mix grits with butter, cream cheese, white pepper, lemon juice and hot sauce. Adjust salt as needed. About 15 minutes before the grits are finished cooking, prepare the shrimp and assemble the dish.
04For shrimp and assembly: Place a large sauté pan over medium heat, and add the oil. When the oil is shimmering, add the shrimp in a single layer. When they are seared on one side, about 1 minute, turn them to sear on the other side. Add fennel, sausage, roasted tomatoes and 1 1/2 cups of the reserved fennel cooking liquid. Bring to a simmer and season with lemon juice, hot sauce and salt. If the mixture seems dry, add more fennel cooking liquid as desired. Add chopped parsley, and toss to mix.
05To serve, place equal portions of grits on four rimmed plates or shallow soup plates. Divide the shrimp stew among the plates, garnish with remaining fennel fronds and serve.