No, he came from Dortmund. Complete myth that that side where well-drilled and playing fantastic football. They played direct, counter attacking football very much like us, but in a way weaker league.
I love when people throw the term myth around only then to proceed to claim something that isn´t true either.
We have not been a counter attacking side for the vast majority of the time post Klopp. Being dangerous on the break does not make you a counter attacking side. Sancho spent most of his tenure in the first team under Lucien Favre, a coach that very clearly promoted patience and a possession and pass heavy approach, which is why Dortmund was under him in Europes highest group in terms of completed passes and amount of possession. It was not until Terzic took over that we turned towards a more reactive style (which has by now also been reverted under Rose).
Sanchos current struggles are a mixture of different factors: some of it comes down to running low on confidence, some of it is the transition to a more physical and faster paced (here less with the ball but against the ball) league, but the biggest one is the adaption towards a vastly different tactical setup.
Borussia Dortmund and Manchester United play very different brands of football.
For one, Dortmund is just a more offensive minded side in general. It pretty much always deploys more attack focused players than defensive ones, occasionally to their detriment as it favours scoring goals so much over preventing conceeding ones that poor conversion can lead to losses or draws that could be prevented otherwise.
The other different aspect that has been consistent for many years between Dortmund and United has been the amount and type of off the ball movement. This is very obvious to see when you watch both teams side by side and actually look what happens away from the ball. People always lament at the amount of space Bundesliga sides give to the opposition, but that is only half the truth as space is not only given but can also be taken.
Dortmunds FBs are constantly pushing high up, attempting runs behind the defensive lines, central midfielders interchange positons frequently and the entire offensive unit basically operates on positional fluidity, which is why they prefer offensive allrounders over clearcut wingers or CAMs. Sancho was very much a part of that which why IMO all these debates of left wing vs. right wing are pretty nonsensical as it would not be unusual for Sancho to switch between both sides and the center half a dozen times in a single game for Dortmund.
That type of fluidity has the primary focus to unsettle defenses by shaking up pairings, stretching lines and giving multiple options to pass and play at any given time. It has the obvious drawback that it needs a high level of coordination to prevent from losing its balance and not open up too much space between their own lines in the process. The moment their discipline drops a bit, their shape goes with it which is at best seen in their sometimes comically poor ability to manage larger leads and see them out over the time. It is an undoubtly risky approach to play.
Uniteds set up is far more traditional, stable and risk averse (some might argue too much so given the offensive firepower in the squad). There is a far bigger focus on positional discipline and keeping the shape of formation (the only player who really roams a lot is Paul Pogba) , which gives them a fair amount of balance and stability and with the right amount of intensity has the potential to really shut down opposition. It is on the other hand also fairly static sometimes downright rigid, with the biggest drawback of being very predictable, which has been consistent pretty much since the retirment of Ferguson and is in my eyes the biggest factor that holds United back despite the quality of the players as it results in an overreliance on individual brilliance.
This here is not a debate which team is "better drilled" or what approach is the superior one as both come with clear advantages and disadvantages. It showcases the stark differences in style, though, nearly two opposing ends of the spectrum, one being nearly chaotic vs. the other being very orderly.
What does that mean for Jadon Sancho? The kid needs time, plain and simple. He was brought up in one style and has now to adapt to a very different one and in a lot of situation he appears to be unsure how to move and behave. There are flashes of his sheer quality and talent shining through, though and he is actually too well rounded and skilled to not manage this transition. It might take a while and longer than many would like for him to truly click and gell with Uniteds system, though.