I think a lot of managers prefer to manage clubs rather than national sides. That said this is an odd choice by Belgium, I guess the Lukaku and Fellaini links have gone some way to making the decision the Belgium FA have come to.
Martinez is still relatively young as well, so for him it's hopefully a stepping stone to manage a big european club that I guess ultimately he wants. Whether or not it works is up for debate and time will tell. He has played his cards well though as Belgium have a lot of potential and he isn't going to be as under the microscope like head coach of England, Spain, Germany or France.