Many ISPs authenticate e-mail using DKIM certification. DKIM works by having a company sign an e-mail with their private key, and then publish a public key in their DNS, which is then used to verify the e-mail signature.
The domain that is checked for the public key is based on a field in the DKIM signature header in your email. This field is the “d=” parameter of the signature.

By default, SendGrid signs all e-mail with DKIM to improve its deliverability. For shared accounts such as Free or Bronze plans, this signature uses the sendgrid.me domain. For higher tier packages with whitelabeling setup a custom domain is used. In order for this custom domain to be correctly certified the appropriate public key MUST be present in the domians DNS records. For more info on how this record is added go here.

Settings:

Some ISPs or e-mail clients (such as Hotmail or Outlook) will display a message with the Sender header reading “on behalf of” followed by the address that is in the Sender header. Some customers might not like this, so here is how to get rid of the “on behalf of” message:
1.Disable the Domain Keys filter in the filters section of your account
2.Upgrade to a package (Silver or higher) that provides Whitelabel support and set up the Domain Keys record in your DNS