Bring the vegetable stock and water to a simmer in a medium saucepan.
In large saucepan, heat the oil over moderate heat and sauté the shrimp until just cooked through, about 3 minutes. Remove from the pan and set aside.
In the same pan, sauté the onion and garlic over moderate heat until softened, about 5 minutes. Add the millet and cook, stirring, for 2 minutes. Add the wine and cook 1 minute.
Add the stock mixture to the millet 1 cup at a time, stirring occasionally, and adding more stock once it has been absorbed, about 30 minutes total. Once the millet is al dente, remove from the heat and stir in butter, scallions, cheese, and shrimp. Season with salt and pepper and serve.
If eating a gluten-free diet, be sure to use gluten-free stock.
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