After sacking Erik ten Hag, United bounced back with a 5-2 win against the Foxes in the Carabao Cup.
For now, Van Nistelrooy is taking charge and picked out Dalot after the game for his performance.
"Diogo is a very important member of the team. He is one of the leaders and is always training professionally," he said.
"He is always there to help the team and I was delighted. His mentality is very strong."
Dalot missed what looked like an easy finish against West Ham United on Sunday, which Van Nistelrooy says had an effect on his confidence.
"He was in a bad moment after the miss (against West Ham), but the day, after, in training, he was preparing and doing everything possible.
"It pays off in the end. A great assist and a good performance. I'm delighted to have him around."