Bring 5 cups water and salt to a boil in a medium saucepan; gradually stir in grits. Cook over medium heat 8 minutes or until thickened. Whisk in pepper and cheese; spoon into a lightly greased 11- x 7-inch baking dish. Cover and chill 8 hours.
Snap off tough ends of asparagus. Combine asparagus and water to cover in a saucepan. Bring to a boil, and cook 5 minutes or until crisp-tender. Drain and plunge asparagus into ice water to stop the cooking process.
Cut grits into 8 (3- x 3-inch) squares. Lightly dredge in flour. Melt butter with oil in a large nonstick skillet over medium-low heat. Cook grits squares, in batches, 3 to 4 minutes on each side or until golden. Top each square with asparagus, poached egg, and Creamy Shrimp Sauce. Serve immediately. Garnish, if desired.
Peel shrimp, reserving shells; devein, if desired.
Melt 1 tablespoon butter in a 3 1/2-quart saucepan over medium heat. Add shrimp, and cook 5 minutes or just until shrimp turn pink. Chop shrimp, and set aside.
Add shrimp shells, shallot, and chicken broth to saucepan; bring to a boil. Remove from heat, cover, and let stand 30 minutes. Pour broth mixture through a wire-mesh strainer into a bowl, discarding shells and shallot.
Melt remaining 1 1/2 tablespoons butter in saucepan over medium heat. Whisk in flour. Cook, whisking constantly, 1 minute. Gradually whisk in broth mixture. Bring to a boil; boil 1 minute or until slightly thickened. Add cream; reduce heat to low. Add chopped shrimp and sherry; stir until thoroughly heated.