Szczesny, 21, has cemented his place as the Gunners number one with a string of consistent displays since breaking into the first team in 2010/2011.
Despite being in the firing line of a humiliating 8-2 defeat by the Red Devils back in August, Wenger is in no doubt Szczesny had the strength of character to soon put it behind him.
"A goalkeeper becomes vulnerable when he thinks he has let the team down. They go home, analyse and think: 'What could I do there?' You tell him: 'Look we conceded eight but there is nothing to do for you'," said Wenger, whose side host United on Sunday looking to close back up on the top four after successive league defeats.
"A top-level sportsman always has a good evaluation of his performances - an objective one. When they honestly feel they have nothing at fault, they get over it quickly. They have a go at the defenders, the way we defend, but in this case I don't think there was too much work to do with him.
"A goalkeeper without any mistakes does not exist. What you try to rate is the overall quality and performance and that is what is quite good for him."
Szczesny - who spent a season on loan at npower League One Brentford from 2009/2010 - has become something of a character in the Arsenal dressing room.
Wenger believes that is a great quality, but must not overshadow professionalism.
"Sometimes players have a genuine confidence, sometimes they disguise a bit more insecurity. In his case it looks a genuine one," the Arsenal manager said.
"He is going through a period where he has to more focus on his job and focus on his game.
"He is not at the level yet where he can say: 'You do this and you do that'. He is not at that stage at the moment."
Wenger added: "It is good that he has the confidence. You feel that when he stands in goal. But as well it is a good mixture between confidence and concentration.
"Life teaches you things; that you always have to be focused, that when you are younger you think too quickly that you have made it.
"Confidence is a massive quality he has but you have to manage it well without losing your focus."
Elsewhere for Wenger, Theo Walcott was on the scoresheet in last weekend's 3-2 defeat at Swansea.
Wenger believes the England winger, who has yet to agree a new, long-term deal, is "coming back" from a testing spell.
"The expectation level in England is very high for him because he started at the age of 16, but I still feel he has improved a lot this season," the Gunners boss said.