To prepare grits, bring water and salt to a boil in a large saucepan; gradually stir in grits. Reduce heat; simmer 30 minutes or until thick, stirring frequently. Remove from heat; stir in cheese, white pepper, and pepper sauce.
Spread grits into a 15 x 10-inch jelly roll pan coated with cooking spray; cool completely on a wire rack. Cover with plastic wrap; chill 30 minutes.
To prepare tomato sauce, heat oil in a large nonstick skillet over medium-high heat. Add onion and celery; sauté 5 minutes or until onion is tender. Add fennel seeds and garlic; sauté 2 minutes. Reduce heat to medium-low. Add tomatoes, marjoram, basil, bay leaves, and chiles; cook 20 minutes, stirring frequently. Discard bay leaves.
Prepare grill pan.
Invert grits onto cutting board; cut into 12 squares. Place the squares on grill pan coated with cooking spray, and grill 3 minutes on each side or until lightly browned and thoroughly heated. Remove from pan; keep warm.
Place sausages in pan; grill 8 minutes, turning occasionally. Arrange 3 grits squares in each of 4 bowls. Top each serving with 3 sausages and 1/4 cup sauce.