In a bowl, combine tomato, garlic, olive oil, salt and pepper; toss well.
Arrange tomato halves, cut side up, on a baking sheet; roast until they collapse and are lightly browned, 25 to 30 minutes, then set aside.
In a small saucepan, combine fennel, half the reserved fronds, and enough water or broth just to cover; add butter and season with salt and pepper.
Bring to a boil, reduce heat to a low simmer and cook until fork tender, 8 to 10 minutes; transfer to a plate, discard cooked fronds, but reserve the cooking liquid.
Meanwhile, prepare the grits according to the package directions, seasoning with salt and adding a bay leaf halfway through cooking; once cooked, mix the grits with butter, cream cheese, pepper, lemon juice, and hot sauce.
Prepare the shrimp about 15 minutes before the grits are done by heating a large skillet or saute pan over medium heat, add oil, and sear shrimp 1 minute per side; add the fennel, sausage, roasted tomatoes, and 1 1/2 cups of the reserved fennel cooking liquid.
Bring to a simmer, stir in lemon juice, hot sauce, salt and chopped parsley(add more fennel cooking liquid if it seem too dry).
To serve, divide grits among shallow soup plates, top with shrimp mixture, and garnish with uncooked fennel fronds.