I had the same issues and while I don't have a shared server, it shouldn't matter. Sendgrid has a ton of docs depending on your situation and how to test by pinging back and forth. To start though with Drupal, you should have
SMTP Authentication Support Modules.

SMTP module lets you debug to see if it's even being sent. Not sure you even need the Sendgrid module. Just make sure your settings are correct. If you are using gmail then use the port recommended and SSL. If you have trouble, email Sendgrid. They are very helpful. I assume you have a Sendgrid account setup? Let me know if you need more help.

The mail was a pain for me too but it will work—eventually. You just may need to talk to someone.

Chris


On Fri, Aug 9, 2013 at 8:00 AM, <support-request@drupal.org> wrote:
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Today's Topics:

   1. Drupal Sendgrid Email Support (Kamal Palei)


----------------------------------------------------------------------

Message: 1
Date: Fri, 9 Aug 2013 12:25:27 +0530
From: Kamal Palei <palei.kamal@gmail.com>
Subject: [support] Drupal Sendgrid Email Support
To: support@drupal.org
Message-ID:
        <CALO8XuWy2GcSdJZEO+7PZw=6R4WB=eSuaZPczQhuxBsNg3XYJg@mail.gmail.com>
Content-Type: text/plain; charset="iso-8859-1"

Dear All
I have a site hosted with Drupal 7.

I am tired of email issues in a shared hosting environment.

Many times mails I send, does not reach destination, sometimes reaching
after a delay of 1 hour, sometimes mailserver ip is blacklisted all sort of
issues.

I am using a SHARED hosting plan.

Can I use sendgrid for my email solution in a SHARED environment.

Can somebody give me pointers how do I make sure when I send the mail or
receive the mail sendgrid system is used.

Thanks
kamal
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