United lost the third round 2-1, with Shea Lacey sent off late on.
Speaking to TNT Sports, Dalot said: "(It has been) really difficult. It's always a period that you have to find ways to solve problems really quickly. We have to adapt and go again."
He added: "Overall, very disappointed because we wanted to go through. All the lads kept trying to find spaces, like I said, really disappointed because I think we deserved to win.
"We are in the phase where every attack that they (the opponents) have has to be a big threat to us. We're conceding so many less shots on target, and we conceded one goal at least every game. We are always a threat. But then, where we stand for defending, I think we have to have a little bit more urgency as a team.”
The defender added: "We have to find ways to overcome this. To find energy between each other, to come to training, be professional, try to give your best during the week, and to prepare for a big game, as we know that these types of games can change momentum.
"(It) can give the crowd a bit more energy to get us through. But to be honest, credit to them. Because even today in the difficult period, they (the fans) are always pushing us forward.”