Bring 3 cups of water to a boil in a medium saucepan over high heat, covered.
Uncover and slowly whisk in the corn meal, 1 teaspoon salt, and ½ teaspoon pepper.
Reduce the heat to medium low and cook, sir occasionally, until thickened, about 5 minutes.
Stir in the parmesan cheese and 1 tablespoon butter.
Remove from the heat and season with salt and pepper.
Cover to keep warm.
Meanwhile, season the shrimp with salt and pepper.
Melt the remaining 2 tablespoons butter in large skillet over medium-high heat.
Add the shrimp, garlic and cayenne, if using and cook, tossing, until the shrimp are pink, 3 to 4 minutes.
Remove from the heat and add 2 tablespoons water, the lemon juice and parsley; stir to coat the shrimp with the sauce and season with salt and pepper.
Divide polenta among shallow bowls and top with the shrimp and sauce.
Serve with lemon wedges.