Issue with SendGrid Webhook Callback in Mautic 5: DSN Configuration for Event Processing / "Transport Not Found" Error – Does Mautic 5 Support This by Default or Is a Plugin Required?

Product Support Mautic 5 Install/Upgrade Support
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Your software
My Mautic version is:5.4.35
My PHP version is:8.1.2
My Database type and version is:

Your problem
My problem is:
I have configured SendGrid in the email DSN settings.
In my SendGrid account, I set up the webhook for events like open, click, and bounce using the URL: mautic_domain/mailer/callback.

I enabled debug logging for requests, and the logs are coming through perfectly in Mautic. However, in the response, I am encountering the following error:

Error: “No email transport that could process this callback was found.”

This error appears in the logs.

Additionally, in Mautic 5, does it support the mautic_domain/mailer/callback for events like open, click, and bounce directly, or do I need to install a plugin for this functionality?
Or do I need to change the email DSN settings to ensure that Mautic can recognize the transport in the mautic_domain/mailer/callback?