Thanks for your support @johnny!
The thing is I’ve already configured successfully my domain’s DNS settings in order to have a CNAME entry for pointing all the SendGrid branding links like “url3333.mydomain.com” to “sendgrid.net” that is required for having a better reputation pointing to our server instead of directly to “sendgrid.net”. But the issue is the side “url3333.mydomain.com” is responding with a “sendgrid.net” certificate, giving ERR_CERT_COMMON_NAME_INVALID error, since the domain name is not the same as SendGrid certificate. I found some thread related: email - SendGrid Link Branding gives ssl issue - Stack Overflow
So I was wondering how I can do the “TLS passthrough” with Cloudflare, but since I have no access to its configuration, maybe I’ll have to do it manually with a proxy explained here… 