Starting goalies Maxime Lagace and Martin Jones each was pulled. Dell replaced Jones for San Jose early in the second period, and Malcolm Subban took over for Lagace in the Vegas net to begin the third period.
Subban made three saves to earn the win in his first game since being activated from injured reserve Nov. 17.
"We should have never let them come back, but that's our group, the way we're built, and we came back and got the two points," Marchessault said. "That's the only thing we're looking at right now."
Logan Couture appeared to give the Sharks a 5-4 lead at 2:40 of the third period, but Golden Knights coach Gerard Gallant challenged for goalie interference, and video review showed Joonas Donskoi prevented Subban from doing his job in the crease.
Couture said the correct call was made.
"I asked the ref, he said skate on skate," Couture said. "If that's the case, and he was in the crease, then it's no goal."
Subban said he wasn't sure what happened.
"I'm just trying to stop the puck, so if somebody hits me, I'm just trying to get back into position," Subban said.
Theodore scored his first goal of the season 2:33 into the game to give Vegas a 1-0 lead, and Neal made it 2-0 at 11:16 of the first period.