Please contact your hosting provider for further assistance. They will be able to tell you how your server is configured for this PHP mail.
SendGrid is an email service. Instead of sending via your own server, you send via their professional email service. Email sending/receiving is a complex system which can lead to vulnerabilities/security problems, email deliverability due to being blacklisted, etc... Overall, it's a pain. Those that want to offload that pain, can use SendGrid or another service like SendGrid.