Martial is inconsistent at it, but on his good days he's better at holding the ball up and linking with other players than Cavani has shown for us so far. I didn't really watch Cavani at PSG so maybe there's more to come from him in that sense, but purely in his time here he hasn't been particularly good at that aspect. Martial does have days where it really doesn't work for him and he's poor, but that's not the norm.
Even in the Wolves match Martial came on and his ability to get on the ball, keep it and move the team forward was an improvement over what Cavani had done. Obviously it wasn't from longballs this time since he was playing more on the wing but he's shown plenty of times he can do that well.