They use different terminology but you’re still connecting to what is essentially a standard SMTP server, which will require authentication.
Go to the Teammates section - https://app.sendgrid.com/settings/teammates
In there you will see the account details that are able to send email:
The value in the “Username” column is what you need to enter in the Discourse setting DISCOURSE_SMTP_USER_NAME
So if the “Username” was SK2019 then you’d have something like:
DISCOURSE_SMTP_ADDRESS: smtp.sendgrid.net
DISCOURSE_SMTP_PORT: 587
DISCOURSE_SMTP_USER_NAME: SK2019
DISCOURSE_SMTP_PASSWORD: 'xxxx.xxxxxx.xxxx'