The Frenchman has impressed when he has been fit this season, especially in a central striking position, but was often out of favour under Mourinho.
Martial scored an impressive goal to help United beat Manchester City away from home in the Premier League on Sunday.
Neville told Sky Sports: "Martial, I think, Jose would have probably sold him or swapped him last season.
"I think the club dug their heels in, probably the start of their dispute of them between them in terms of overruling the manager.
"Myself, I'm confused as to whether he's a world-class striker or whether he's someone who is going to pretend to be something.
"You think he's a fantastic player, great composure, cool, strong, can hold the ball up.
"And then other weeks you look at him… there's definitely a persistence that needs to occur with Martial in the sense that he has to have his chance.
"Because the idea of selling him and then him coming back to bite you which he could do with his talent is something that you can't risk.
"And that's the reason why the club have kept him and now Ole is giving him his opportunity."