As an option you can use your own sendgrid account to have all notification from EW sent through it and NOT come through our set up. This can open the door to more options for you but is NOT required..
To integrate sendgrid you first need to sign up for an account at http://sendgrid.com/free and then go here
Add in your sendgrid username and password here
Once you add in your details your events built in notifications will now go through your own sendgrid account and not ours.
To ensure that your emails go through you will want to white list your from email address's or any used within your EW account as seen here or within any other sendgrid docs https://sendgrid.com/docs/Classroom/Deliver/Undeliverable_Email/how_do_i_keep_emails_from_dropping.html
Are you using the wp plugin?
This is for built in notifications to go through your own sendgrid account.. Also if you are using the plugin on your wordpress site to make sure they go out and go to inbox not spam.. If you are using the plugin please see the below video to understand why you NEED to use your own sendgrid.