The ambitious Geordie insists United should have won the Treble last term and told The Sun: "I appreciate what we achieved. Winning the league was unbelievable and something I've always strived for.
"And the FA Cup, too. It was just one of those things that went against us but because the final was the last thing, I went into the summer a bit downbeat.
"It took me a couple of weeks to get over it.
"It wasn't until later I realised we'd won the league and come very close in two others, so it had not been such a bad season.
"I'd pretty much got over the Cup final but even on honeymoon it crept into my mind.
"Even last week at Wembley, lifting the Community Shield, I couldn't help but think 'What if this was us in May lifting the Cup?'
"Until I win it, that will always be in my mind. So hopefully we will win it this year and I can put it to bed."