Cook lentils according to package directions. Drain and set aside.
Warm 1 tablespoon olive oil in a large skillet over medium heat. Add chorizo and cook until lightly seared and crisp, 3 to 4 minutes. Remove with a slotted spoon and set aside. Add onion and garlic and cook, stirring occasionally, until soft and translucent, 6 to 8 minutes. Add celery and fennel and cook until slightly softened, about 5 minutes. Stir in thyme and 1 teaspoon paprika and cook for 1 minute. Remove from heat. Stir in lentils and 2 teaspoons vinegar. Taste and season with salt and pepper. Add a splash of olive oil, if dry. Keep mixture warm.
Toss shrimp with remaining 1 teaspoon paprika. Warm grapeseed oil in a nonstick skillet over medium-high heat. Add shrimp and cook until lightly seared and opaque, about 2 minutes per side.
Toss frisée with remaining 2 tablespoons vinegar and 1 tablespoon olive oil. Season to taste.
Divide lentils among 4 plates. Top with shrimp and frisée, then scatter Manchego on top. Serve immediately.