Essa pergunta foi respondida pela equipe de suporte do SendGrid. Colando sua resposta aqui:
If I recall, 1 & 1 doesn't support the _ value in the CNAME record.
What you can do is create a TXT record instead.
Head over to your SendGrid account -> Select Settings -> Whitelabel.
Delete your old whitelabel and add a new one using the same subdomain and domain ' mail.'. This time, Turn off the automated security box so we use TXT records vs. CNAME records for your DKIM config.
De volta à tela de configuração do 1and1.com, consegui criar os registros TXT conforme especificação do SendGrid.