1. Prepare Grits: Bring salt and 4 cups water to a boil in a large heavy saucepan over medium heat. Gradually stir in grits. Bring to a boil; reduce heat to medium-low, and cook, stirring often, 45 minutes to 1 hour or until grits are thick. Remove from heat, and stir in 2 Tbsp. butter, 1/4 cup cheese, and freshly ground white pepper to taste. Stir in egg until blended.
2. Preheat oven to 375°. Divide grits among 4 (4- to 6-oz.) buttered ramekins; place ramekins in a 13- x 9-inch pan, and add hot water to pan halfway up sides of ramekins. Cover pan with aluminum foil.
3. Bake at 375° for 15 minutes. Uncover and bake 20 minutes or until tops begin to brown.
4. Meanwhile, prepare Sauce: Combine wine and next 5 ingredients in a medium saucepan, and bring to a boil over medium heat. Cook, stirring often, 5 to 7 minutes or until liquid is reduced to 1 Tbsp. Reduce heat to low; stir in cream. Gradually whisk in cubed butter, 1 cube at a time, whisking until blended after each addition. Remove from heat.
5. Pour mixture through a wire-mesh strainer into a small saucepan. Stir in cheese and lemon juice. Season with kosher salt, white pepper, and hot sauce to taste. Keep warm.
6. Prepare Mushroom Topping: Sauté mushrooms and next 2 ingredients in hot oil 3 to 4 minutes or until mushrooms are just tender.
7. Unmold grits onto serving plates, and serve with sauce and mushroom topping.