The send grid emails will not be affected since they are not actually sent though your tenant.
Only messages sent though 365 will get a DKIM stamp.
However, if send grid messages ( and any other 3rd party mailers) are sending as your domain and stamping a DKIM signature as your domain and you dont have CNAME set up for those messages in your external DNS , those messages will fail DKIM. ( The would be doing that before as well if that was case)
Make sense?