In a medium mixing bowl or large releasable plastic bag, combine first six ingredients. Swish the mixture around to make sure the olive oil is well incorporated.
Add shrimp and marinate for up to two hours.
In a separate bowl, combine the sauce ingredients. Refrigerate until ready to serve.
Thirty minutes before you are ready to grill, soak your wooden skewers in water to prevent them from catching fire on the grill.
Prepare a charcoal or gas grill for indirect heat.
Sprinkle both sides of the polenta rounds with the Cajun seasoning.
Drain shrimp and discard marinade. Thread shrimp onto metal or soaked wooden skewers.
Lightly coat the grill rack with oil. Grill polenta and shrimp for 5-8 minutes, turning once, until shrimp is pink and polenta is firm and shows grill marks.
Place shrimp over polenta. Top with sauce. Garnish with chopped green onions if desired.