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Data-driven neural networks are increasingly used as surrogate forward models in geophysics, but it remains unclear whether they recover only the data mapping or also the underlying physical sensitivity structure. Here we test this question using surface-wave dispersion. By comparing automatically differentiated gradients from a neural-network surrogate with theoretical sensitivity kernels, we show that the learned gradients can recover the main depth-dependent structure of physical kernels across a broad range of periods. This indicates that neural surrogate models can learn physically meaningful differential information, rather than acting as purely black-box predictors. At the same time, strong structural priors in the training distribution can introduce systematic artifacts into the inferred sensitivities. Our results show that neural forward surrogates can recover useful physical information for inversion and uncertainty analysis, while clarifying the conditions under which this differential structure remains physically consistent.