Michu is not among the nominees for the PFA Player of the Year.
Lambert told the Mirror: "It is shocking really if someone like Michu can't get in with the season he has had.
"I don't know what it is, whether it is ourselves or the FA. But it is shocking that he is not in it.
"I did not believe it was because he's at an unfashionable side before this season but I'm starting to see it more and more."