Not all MX records are equal 
To receive emails on a given domain, you need MX records that use @ as the host.
SendGrid is asking to ad an MX record for a subdomain for their own verification purposes. Probably if there’s some way to receive emails in SendGrid itself or some system email.
Your original MX records won’t stop working because they apply to a different host.
The point is: just go with the default sendgrid flow for the main domain. They know how to NOT fuck up 
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