Villa recorded their first Premier League home win over United since 1995 as Unai Emery got off to a winning start as manager after replacing Steven Gerrard.
United conceded twice after just 11 minutes and also let Villa score early into the second half.
Dalot feels it has taught United a valuable lesson that they must ‘start much quicker’ in matches.
‘Obviously, it is a step back and we have to look at it as a lesson,’ Dalot told the United website.
‘[We must] try to do it better in the next games and we have another opportunity on Thursday [against Villa again, in the Carabao Cup], and it is a competition we want to get through.
‘I’m disappointed. We knew that today was going to be a difficult game but we didn’t start the way we wanted, the first 10 minutes and the first five minutes after the second half.
‘I think it was decisive for them. And it is a lesson for us for the next games. We have to start much quicker, much sharper and we are disappointed because we wanted to win.
‘That’s why I said we had to start with energy, we knew they wanted to bring the crowd with them.
‘And they did, and I think we let them gain confidence during the first 15 minutes. And then we started to have the ball, we had a bit of control and we created chances.
‘We could have gone into half-time with at least a draw but we should have really started better in the second half, and when we conceded that goal, it was decided.’
United once again face Villa on Thursday as they meet in the Carabao Cup before Ten Hag’s side travel to Fulham in the Premier League on Sunday.
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