In a skillet over medium heat, melt the butter. Add the shrimp and cook until they turn pink and opaque, about 3-4 minutes. Remove the shrimp from the skillet and set aside.
In the same skillet, add the chopped red bell pepper, sweet onion, and minced garlic. Sauté for about 5 minutes, or until the vegetables are softened and fragrant.
Stir in the Cajun seasoning, mixing well with the vegetables.
In a mixing bowl, blend the cream cheese and mayonnaise until smooth. Then, fold in the shredded cheddar cheese, grated parmesan cheese, chopped scallions, lemon juice, and cooked shrimp.
Add the sautéed vegetable mixture to the creamy shrimp mixture. If you like a bit of heat, now is the time to stir in the hot sauce. Mix everything until it's well combined.
Preheat your oven to 350°F (175°C). Transfer the dip into a baking dish and spread it out evenly. Bake for 20-25 minutes, or until the top is golden and bubbly.
Remove from the oven and let it cool slightly before serving. Pair this dip with your choice of chips, crackers, or fresh veggies.