Ahhh...apologies, i should have read the title closer, it's an EMAIL link being sent.
I believe you can only track links generated through Kentico, not SendGrid, as kentico adds it's links so it can track the clicks (the link goes to Kentico, tracks, then redirects to the proper link).
When an email is sent out, Kentico creates a reference to each link for each email recipient, so you probably cannot just generate the email through kentico and send through sendgrid.