Although your sentence isn't incorrect and should be accepted as correct grammar, there is one issue I see. And perhaps Grammarly has corrently identified the issue. But first of all, let me tell you why your sentence "sounds" incorrect.
Here is a trick to check if your sentence does "sound" correct. The trick is to modify the sentence by bringing the infinitive phrase to the end of the sentence. In your case, it becomes:
Our research thrusts are two-fold to address this challenge.
The sentence does sound a little iffy now. But we're not sure why. The following grammatical analysis reveals why.
The infinitive phrase in your sentence "To address this challenge" is a modifier for the subject phrase. However, it doesn't modify the subject phrase because there is only a helping verb in your subject phrase "our research thrusts are two-fold". Your subject needs an action verb in order for it to be modifiable by the infinitive.
So, e.g., if your subject phrase was "our research thrusts have been made two-fold", the sentence would sound much better now:
Our research thrusts have been made two-fold to address this challenge.
You may have to further modify your sentence (or subject) to make it sound even better.
Here are a few examples, similar to your case, to make it more clear. In each example, the first sentence has a similar flaw as yours; the second sentence is correct.
[INCORRECT] My laptop is cheap to meet the tight budget needs.
[CORRECT] I bought a cheap laptop to meet the tight budget needs.
[INCORRECT] To please the guests, the food is tasty.
[CORRECT] To please the guests, tasty food has been prepared.