In a skillet over medium-high heat, melt the butter. Pour off 5 tablespoons of the butter; set aside and keep warm. Add the panko and garlic to the remaining 2 tablespoons butter in the skillet and cook until the panko is crisp and golden, 3 to 4 minutes, stirring often. Stir in the thyme and ⅛ teaspoon salt. Remove from the heat.
Prepare the grill for direct cooking over high heat (450° to 550°F).
In a saucepan combine 3-½ cups milk, the garlic, and ¾ teaspoon salt. Bring to a simmer over medium-high heat. Gradually whisk in the grits. Reduce the heat to low and continue cooking until the mixture thickens and the grits are very tender, 6 to 9 minutes, whisking often and adding water ¼ cup at a time if the mixture seems too thick. Stir in the cheese and season with pepper. Remove from the heat and cover to keep warm.
Pat the scallops dry. Remove and discard the small, tough side muscle that might be left on each one. In a bowl combine the scallops, Cajun seasoning, ½ teaspoon salt, and ¼ teaspoon pepper. Turn the scallops in the seasonings and then add 2 tablespoons of the melted butter and toss to coat.
Brush the cooking grates clean. Grill the scallops over direct high heat, with the lid closed, until they are lightly browned and just opaque in the center, 4 to 6 minutes, turning once or twice. During the last minute of grilling time, grill the scallions over direct heat, turning once. Transfer the scallops to a clean bowl and add 1 tablespoon hot pepper sauce, or to taste, and the remaining 3 tablespoons melted butter; toss to coat. Roughly chop the scallions.
If the grits have solidified, loosen with a few tablespoons of water or milk and then warm through. Divide the grits among four plates. Top the grits with the scallions, scallops, and bread crumbs. Garnish with parsley and serve immediately with more hot pepper sauce, if desired.