Dimitar Berbatov celebrated his 32nd birthday with a vital - if offside - opening goal, although Kevin Nolan levelled for the Hammers at the start of the second half.
The Whites rallied and regained the lead a minute later through Hugo Rodallega, before Joey O'Brien turned in a Mladen Petric shot in stoppage time.
"We've conceded the first goal, which is offside," McDonald, attending the press conference in place of manager Sam Allardyce, said.
"That is very, very disappointing and sometimes that knocks the stuffing out of you.
"We're expecting to get that decision right. It was not just one person but three people offside. It is not second or third phase either - it is the first phase.
"That puts us on the back foot but I thought we showed tremendous character to come back in the second half.
"We put Fulham under pressure and created some really good chances. We got back into the game and then disappointingly conceded within a minute.
"It is always difficult in the Premier League to come from behind but we still pushed forward and I think we should have had two penalties as well so I think we were a little harshly done by.
"It is difficult in the Premier League but when you don't get those decisions going for you it is doubly disappointing."