MailHog won’t get mail that gets sent by Sendgrid.
MailHog gets every e-mail sent with the wp_mail() function, and SendGrid doesn’t use it.
The Sendgrip API works almost like an SMTP, with authentication and delivery made by Sendgrid itself, not Wordpress. So there’s no way MailHog can catch that 
Also, if you correctly apply SendGrid with it’s Plugin and everything, it overwrites wp_mail() so every mail that would be sent by Wordpress, gets sent by Sendgrid instead.