The A record (address record) links your dedicated IP address to your chosen domain. It does this by mapping your domain to your IP address through records that you export from SendGrid and upload into your DNS host.
If your domain+ subdomain is
marketing.example.com, and your dedicated IP address is
126.96.36.199, setting up the SendGrid A record links your domain with your dedicated IP address - so anything sent over your domain associates with your dedicated IP, and anything sent over your dedicated IP associates with your domain.