If you followed the steps in this training but you're getting an error when you finally authenticate your domain, most likely your DNS is pointed to Namecheap's basic DNS.
Try to go to your Namecheap account and change the Nameservers of the domain (that you tried to authenticate) into Namecheap Web Hosting DNS.
Follow the below steps:
1. Sign in to your Namecheap account.
2. Select Domain List from the left sidebar and click the Manage button next to your domain:
3. Find the Nameservers section and select Namecheap Web Hosting DNS from the drop-down menu. Click on the green checkmark to save the changes:
After that, try to go back to the Sendgrid Verification section for that domain and authenticate your domain. It should work by that time.