This behavior might be occurring due to Sendgrid's link tracking feature, which transforms links in emails into randomized URLs like http://url####.appname.com/... for tracking purposes. However, this link becomes invalid when used in conjunction with Bubble apps because the "urlXXXX" portion of the URL is detected as a subdomain, which has not been set up for your app.
To fix this, you can navigate to your Sendgrid settings and disable "Click Tracking".