Mourinho has a different concept of how full-backs should play. I think Mourinho's concern is more of defensive balance. Valencia being an ex-winger as we know is very attack minded which warrants the left back to be defensively astute. Shaw is also by his nature an attacking player. Hence, Mourinho prefers Blind, Rojo and Darmian all more defensively inclined with strict instructions to limit their attacking instinct.
There is also the issue of Martial, and Rashford on the left not great at tracking back, which leaves an instinctive attacking player like Shaw vulnerable if the opposition broke with speed. IIRC we have suffered in a few matches due to cover when Shaw, Martial or Rashford have played on the left.