September 30, 2017 - New IP Addresses in Europe - SendGrid

I just got that email about new IP addresses and don’t know what to do with it.
We use SendGrid to send out emails from Auth0 so not sure if we need to do anything?

I would like to know that too, please.

As mentioned in the email in some situations you may not need to perform any other action besides reviewing your integration to make sure you would not be affected, in particular:

You will need to take action to allow traffic from the additional IP addresses if you are making service calls originating from one or more of the components mentioned above and your services have firewall rules restricting access.
(emphasis is mine)

In your specific case and to my knowledge there would be no firewall between the Auth0 service and the SendGrid service so for the email provider case you would not need to perform further actions.