In Sendgrid when designating the reply-to email address enter smtpreply@replies.msgsndr.com - this is required to capture the email replies back into FocalContact.
Each user will then have a random designation appended to the reply-to email, e.g. pzusfLjxt3GElNtOrcZh-smtpreply@replies.msgsndr.com. FocalContact only handles replies by default, and while it is unlikely that someone would send a direct email (not a reply) to such a random email address you can be 100% sure no emails are missed if this is set up.
