Manchester United defender Harry Maguire called for more confidence and arrogance on the ball.
St Mary's witnessed United's eighth successive winless away match as Daniel James' stunning strike during a bright start was cancelled out by Southampton defender Jan Vestergaard in a 1-1 draw.
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Another game where we've deserved to win," he said. "We've created the majority of the chances and we've dropped two points, really.
"The start of our season has been a little bit like that. We deserved to win at Wolves and then we conceded two shots against Palace and they scored two.
"They're not really had a chance apart from obviously the one building up to the goal and then the header as well so it's another set-play, the same as Wolves.
"I feel like we've been really fairly solid defensively, but the fine margins are the set-plays and things are punishing us at the moment and we're not being clinical at the other end."