How to Make It
Bring a large saucepan of water to a boil; add 2 teaspoons salt. Add the collard greens and cook until just tender, 6 to 8 minutes; drain well.
Wipe out the saucepan. Add the milk, 2 cups water, and ¼ teaspoon salt and bring to a boil. Whisk in the grits and simmer over low heat, whisking frequently, until soft and creamy, 5 to 6 minutes. Remove from heat and stir in the Cheddar and butter.
Meanwhile, in a large skillet, cook the sausage over medium heat until brown, 4 to 6 minutes; with a slotted spoon, transfer it to a plate.
Add the shallots and bell pepper to the drippings in the skillet, season with ¼ teaspoon salt and ⅛ teaspoon black pepper, and cook, tossing occasionally, until beginning to soften, 3 to 4 minutes. Add the greens and cook, tossing, until heated through, 1 to 2 minutes. Fold in the sausage. Serve over the grits and sprinkle with the red pepper.