Forest won 1-0 at the City Ground thanks to an end-to-end individual goal from former United winger Anthony Elanga.
Dalot told MUTV afterwards: "I think we did enough to win the game. We had very good moments, created a lot of chances, and I think enough chances to win this game.
"It’s the price sometimes you pay in this type of level, in these types of competitions. Sometimes a little distraction, lack of focus, can be really decisive, and today it was.
"Overall, I think we are improving," he continued. "We are playing better, controlling more games in possession and without possession, so something positive that we can take for the coming games.
"But in the end, we need to start being more consistent in terms of results and winning more games."
Dalot added, "If we want to be competitive in the future, we have to start behaving like this and we have to perform like this.
"But these little bits will have to come first if you want to compete for the Premier League and the biggest titles, we have to start creating these habits and they try to be consistent on that, and then I think the results will come by themselves.
"We still have to suffer a little bit, but in terms of getting out of this situation and trying to improve, I think we are on the right track.”