Hi everyone.
I got the exactly same issue.
Then I discover something of this page https://sendgrid.com/en-us/pricing
If you check at the bottom of the Free or Essential Plan, you could see there is no SSO login allowed. And if I'm right, this is how azure provide connection to SendGrid.
I didn't try to upgrade my subscription because I do not want to pay for now and I would like to be sure it's the issue before subscribe to any expensive plan.
If something tried, let us know !