I've found what was the problem: in my SendGrid account there was Link Branding enabled. But that's little bit strange because it was enabled before moving to the new server and it worked fine.
I have created a sub domain** members.lebu.co.uk** but how do I link my forum to it?
@Dan-Pereira That depends on which http server you use.
I find nginx is the easiest. There are instructions here.
Apache also has instructions though.
Hahaha, good question. I didn't even notice. I just googled for the documentation to get to it quickly. I didn't even pay attention to the URL.