Technically they did employ some DNS validation. You had to setup a MX record to point to SendGrid before you could add the domain to your account. The problem

Technically they did employ some DNS validation. You had to setup a MX record to point to SendGrid before you could add the domain to your account. The problem was in order to send emails from a domain you had to add the same MX record. If you never setup the receiving end as well (on SendGrid) you were vulnerable to a takeover from another SendGrid account.