Brajan Gruda gave the visitors the lead after just 12 minutes before ex-Man United striker Welbeck doubled it in the 64th.
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Benjamin Sesko bagged his third goal in two games last one, but it was nothing more than a consolation for United.
With United out of the Carabao cup, following their defeat to Grimsby earlier in the season, and now the FA Cup, the club have reached an abysmal 111-year low.
The 20-time champions will play just 40 games this season, the fewest since the 1914-15 campaign (39).