Dupont connectors – those flat ... XH-style – it’s important to use the right wire gauge and not to squish the square female part of the connector.

Comparison of the DuPont Mini-PV crimp tool ... a disgustingly cheap crimping tool that positively mauls the connector and/or wire.

Given the DHT11 is a 1 wire interface you can see the Seeed folks set the other pin to NC meaning ... With the HV setup you can then use the Grove to dupont cable connector, attach the red pin (3v3) ...