I believe that I found the information you are talking about. Unfortunately, I cannot help you go through these steps because I do not have access to my Exchange Online account, but I hope these resources will help to solve your problem.
The reason the Exchange Online docs are missing information about this is because it actually needs to be done in Forefront.
Here are the basic steps:
Configure Send Connector in Forefront
In Exchange Online / Office 365, mailboxes are protected by Forefront Online Protection for Exchange (FOPE). If you are an Office 365 E Plan user, follow these steps:
- Log in to your Office 365 MOP with an administrator account.
- Click Manage on the Exchange tab.
- Click on "Manage My Organization-> Mail Management"> "Rules", click on the link "Configure Secure IP Address Retention, Tracing Perimeter Messages and Email Policies", then you will be redirected to the FOPE website.
- Configure the connectors.
And here is a detailed article describing the same workflow that you are after. Just replace the "local server" with "SendGrid".
source share