Hello @Roberto Araujo Filho,
welcome to this moderated Azure community forum.
The EventGrid consumes a API server as client so your API is in control of the TLS security.
Technically, this means your API should secure the endpoint so the data communicates is not readable for others (mostly public cloud).
Because this is cloud-to-cloud (in Azure) communicate, perhaps you can use VNETs to prevent access from the public internet or other Azure services?
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