The Owls dominated much of the first half without finding a finish as Ryan Lowe, Reda Johnson and Lewis Buxton all went close before Lowe had convincing claims for a penalty turned down.
"We set off arguably as well as we have done all season but we didn't take the chances we created and didn't make the most of the opportunities to make more chances," said Megson. "We put five things right around the dressing room and one of them is scoring the first goal because it's vitally important.
"We weren't working the goalkeeper consistently but we were getting some really good possession in areas of the field where we should make more of it.
"But when you don't, you are not going to boss a game for 90 minutes and first half we didn't want the whistle to come because we were so far on top. But you must score when you are in that position and we didn't do it and we didn't do it on Tuesday."
On the penalty appeal, Megson added: "You can't turn round and blame officials. If you create that amount of chances and you are that much on top, you have to go on and score from there."
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