Make ragù :
Pat lamb shanks dry and season with kosher salt (rounded 1/2 teaspoon) and 1/4 teaspoon pepper. Heat 2 tablespoons oil in a 5-quart heavy pot over medium-high heat until it shimmers. Brown shanks on all sides, 6 to 7 minutes, then transfer to paper towels to drain. Add remaining 2 tablespoons oil to pot, then cook onion, garlic, plum tomatoes, sun-dried tomatoes, celery, mushrooms, and fennel with thyme, red pepper flakes, and 1/2 teaspoon pepper, stirring occasionally, until softened, 4 to 5 minutes.
Return lamb shanks to pot with stock, bourbon, vinegar, Worcestershire sauce, soy sauce, and honey and bring to a boil. Reduce heat to low and simmer, covered, stirring occasionally, until meat is very tender, 3 to 3 1/2 hours.
Remove meat from bones, discarding bones, and skim fat from cooking liquid, then return meat to pot. Simmer ragù , uncovered, stirring frequently, 15 minutes.
Just before serving, stir in radicchio and scallion.
Make grits while ragù finishes cooking:
Bring stock, water, and milk to a boil in a 2-quart heavy saucepan. Add grits in a stream, whisking, then cook over low heat, uncovered, stirring frequently, until grits are tender and thickened to the consistency of loose oatmeal, about 20 minutes.
Toward end of cooking, finely grate one fourth of cheese (1 cup) and add to grits along with sour cream, sea salt, and pepper to taste. Stir until cheese has melted. If grits are too thick, stir in some additional milk.
Serve ragù over grits and top with shavings of cheese.
