That the game was still goalless when Lukaku struck was hard to believe.
The home side should probably have killed the game inside half an hour.
Andreas Weimann somehow contrived to botch a straightforward one-on-one with the goalkeeper moments later and Everton went on to have great chances of their own, Ross Barkley hitting the crossbar with a deflected effort.
Lambert said: "I think we have got to take our chances.
"We should have been three up. But I can't be too harsh on the lads.
"The penalty was a terrific save, I've just seen it again, and the second chance Christian did the right thing in going across the keeper. He just made another great save.
"They're big moments if you don't score.
"Their goalkeeper had a really good game but you don't score when you're well on top and we got caught."