Lampard was convinced of a foul by the United captain on Cesar Azpilicueta.
"I thought it was a clear penalty," he said.
"I couldn't see it at the time from where I was standing, and I think those ones are hard calls for the referee on the pitch. It is why we brought VAR into the game, but VAR was very quick to dismiss it.
"They should have taken time, and advised the referee to look at the monitor. If he watches the monitor, he has to give the penalty, so it's very confusing from my point of view.
"There's a frustration because the rules seemed to be moving in the right direction,' continued Lampard.
"The referees were looking at the monitor a bit more at the start of the season. The person on the pitch should always take first responsibility, and that was given back to them with the monitor.
"It was a difficult one for VAR to give, but if they had given the person on the pitch the main call, and asked them to review it, that would have been a penalty."
Lampard was asked if his players on the pitch should have made more of an appeal.
"I don't think there's a need. Azpilicueta was appealing, but when you have VAR as a back-up, that's surely why we brought it in, to make sure they assess it and refer it to the referee to have another look. Maybe with the angle he didn't get a view of the headlock at the time, but he didn't get a chance to review it."