This issue has been reported here 3 years ago but has not been fixed.
The mail sent by email@example.com is from IP 184.108.40.206, which violates the SPF record (SOFTFAIL).
$ dig +short TXT caddy.community @220.127.116.11 "v=spf1 include:sendgrid.net ~all"
$ dig +short -x 18.104.22.168 @22.214.171.124 relay1-d.mail.gandi.net.
To fix this issue, the domain administrator should update the SPF record.