Update:
After creating support request with both SendGrid and Microsoft, Microsoft was able to help me resolve the issue. It is the owner of the subscription in the Enterprise Portal and not the Azure Portal who is allowed to create the SendGrid Account. So it didn't matter if I were both Global Admin and Owner in the Azure Portal. So I gave the owner of the subscription in the Enterprise Portal privileges to deploy and create the SendGrid account in the Azure portal and it worked out perfectly. However, the Microsoft documentation is confusing and not clear on this. Hopefully this can help other.