Configuring SendGrid for Email Notifications
Getting your Sorry status page hooked up to your SendGrid account just needs an API key.
The catch at the moment is, the setup form just reloads when your API key doesn't have the correct permissions.
Please make sure the fresh API Key created within SendGrid has Mail Send full access permissions.
Once that's sorted you can go ahead and drop in the API Key into the Publish to Email section in page settings and bobs your uncle, the SendGrid and Sorry account are connected.