Martial has been very inconsistent, and it's clear (to me at least!) that he isn't particularly mentally strong. We saw it when he had a form dip when he had personal issues, and we've seen it when he's been dropped. Given the opportunity to come on as substitute and impress, he's often shown very little interest in fighting for his place. He strongly dislikes being played out of position, and appears to feel that he should be starting matches in his preferred role. I'm all for a bit of arrogance but it has to be backed up with performances.
You also have to remember that we only ever see the squad looking from the outside in. Mourinho and his team work with these players every day; they know what's going on in their lives, their work ethic, and you can bet that they aren't just letting players stew without talking to them. Neither will they be best mates, but we get this impression of an impersonal relationship between manager and players because of how Mourinho speaks of them in public. If Martial isn't playing regularly, it's not because Mourinho thinks that Sanchez is better than him, it's because what he's seen from Sanchez in training and in the opportunities he's been given in matches ticks the boxes. The same can be said for Luke Shaw: we all know how much potential he had, and how exciting he was as a player before his injury. What we haven't seen is why he's been inconsistently picked for the team, and a lot of that will be based on his attitude toward training and his performances on the field. Mourinho clearly sees Young as more consistent and dedicated, even if his raw talent doesn't match.
I think that unless Martial is able to get his head straight - and it may well be too far gone here - then he's better off at another club. One where he's a guaranteed starter in his preferred position, and where he can be the star. Until that happens I'm not convinced that he'll grow enough to be able to deal with being at a big club, fighting for his place.