Megson, who saw fit-again Nicolas Anelka net the winner early on, refused to make any apology for his team's committed performance.
"The worst tackle was by a centre-forward (Davies), who is not a particularly good tackler.
"We have to compete. That is the idea. You won't get me criticising my team for that. You would only get complaints if they don't.
"The referee saw nothing untoward. He didn't send anyone off."
United boss Sir Alex Ferguson was honest enough to admit his side did not deserve to win.
Given their lack of clear opportunities, Carlos Tevez wasting the best one, it is debatable whether United even deserved a point as they slumped to their first defeat since mid-August and fell three points adrift of league leaders Arsenal, who also have a game in hand.
Although the visitors were without Cristiano Ronaldo with a thigh strain, it was the absence of Nemanja Vidic with a back problem that caused United more problems given it was a mistake by the Serbian's replacement, Gerard Pique, which gifted Anelka his 11th-minute winner.
"It looked like Gerard jumped too soon," said Ferguson.
"We do not like losing but sometimes you have to take defeats, it is part of the game.
"We have players of great quality and I am sure we will bounce back."
While Ferguson headed back down the M61 licking his wounds, Megson was finally able to celebrate, not just the victory but the sight of his team climbing out of the relegation zone.
"It was a terrific performance in terms of work-rate, desire and drive," said Megson.
"We have an awful lot going for us and I have no qualms is saying we will get out of this position."