Well Selenium Grid helps you run your tests in parallel on several different nodes (slaves) that need to be registered in a central hub. You create your driver object by sending a request to the hub, which finds the corresponding node based on the desired feature that you installed and performs a test on that node.
While Jenkins is a continuous integration tool. It cannot distribute your test cases across multiple nodes. In fact, Jenkins is no different from selenium; it's just a CI tool. This is the trigger point of your tests after your builds.
If you need to distribute your tests on different machines, I think you should use Selenium Grid simply because it will manage the distribution and do a lot of work under it.
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