The following image depicts a response after the mail is sent.
The X-Message-Id is a header returned when making a mail send which can be used to track events that the Event Webhook posts.
When using the Event Webhook, it's best practice to store your X-Message-Id. X-Message-Id data helps with deduplications in your webhook data. It can be used to find all corresponding Message-Ids.
SendGrid recommends that users store this data to correlate to their Event Webhook data, and this data is very useful for Support troubleshooting.