Grease a 9x13-inch baking pan with olive oil or cooking spray. Set aside.
Boil milk and water in a large saucepan over medium-high heat. When the liquids boil, add a pinch of salt and some pepper. Add corn meal and whisk immediately to prevent clumping. Reduce heat to a simmer and whisk cornmeal frequently.
In 2 to 3 minutes, when the cornmeal mixture thickens, turn off the heat. The cornmeal should have soaked up nearly all liquids at this point. Stir in the butter and cheese.
Pour polenta onto the prepared baking pan and spread evenly. I find using a greased rubber spatula makes this step much easier. Cover pan with plastic wrap and refrigerate for an hour or overnight.
Preheat oven to 400 degrees F (205 degrees C). Line a large baking sheet with parchment paper and grease with cooking spray.
Take the polenta out of the refrigerator. Run a rubber spatula or a knife around the edges to help release the polenta. Flip the pan upside down on top of a cutting board. Using a 2-inch cookie cutter, cut out polenta rounds. You should be able to get 20 of them.
Place polenta rounds on top of the lined baking sheet and bake for 20 minutes, flipping halfway through.
Start cooking shrimp when there is about 10 minutes left for the polenta. Heat oil over a sauté pan over medium-high heat. When the pan is hot, add shrimp. Cook each side for 3 to 4 minutes.
If you want to try the sun-dried tomato pesto, blitz all the pesto ingredients in a food processor or blender. If the pesto is too thick, add water one tablespoon at a time. You may need to adjust the salt if you add more water.
Serve polenta bites with some pesto (if using), shrimp, tomatoes, feta, and microgreens. Enjoy!