SendGrid's platform doesn't need to be the sender of these emails at all. It's just classic phishing, the emails can pass SPF, DKIM and DMARC as all of these rely on DNS resource records to be created on the RFC5321.MailFrom and/or RFC5322.From domain. Which is under control of the spammer. It's not pretending to be from sendgrid.com, if it was then these measures would help.