He's a world class finisher who's right up there with anyone in Europe - providing you give him the ball in a shooting position.
But his issue is getting himself into those positions in the first place.
Think about the match against PSG where both he and Rashford played in effectively the same position. I don't want to make this post about who's better overall (because I think both have their strengths and weaknesses), but it was very telling how much more often Rashford was getting involved and how much more often he was making dangerous runs that were putting him through on goal. People can be quick to criticise Rashford for his misses - and that's certainly be valid at times. But it's equally valid to criticise Martial for not being the player who's getting onto those chances. Ideally, the two of them should be getting the same number of opportunities from open play, but the balance was actually 4 to 1 in Rashford's favour. And that's not event counting how much more often Rashford was making runs that weren't found.
As I said previously, I really don't mean this to be an argument for one being better overall than the other. But it is an illustration of what aspects of Martial's game need to be improved.
For any individual in any field, it's better for them to be present and good rather than absent and great.