SPF doesn't check the reply-to address, only that the host sending the mail is allowed to send mail for the domain in the MAIL FROM: header.

See: http://www.open-spf.org/FAQ/What_it_does/

No, they haven’t. With your current config sounds like you are failing SPF alignment. Is your SPF record in strict mode? Do you have DMARC set up and are you DKIM signing the SendGrid emails from your domain?