Alex striker Chuks Aneke scored a screamer to sink the Blades, who had already booked their play-off place, but have now won just one of their last seven games.
Morgan said: "It's not ideal going into the play-off games in this form but we have an honest set of players who work hard for each other.
"We've got to get ready for three massive play-off games but confidence is good even if the lads are feeling very frustrated.
"We knew we were already in the top seven so we took the opportunity to play a few others and try a few different things but the 11 we had on the pitch should have had enough to win the game.
"We tested the keeper, we have looked dangerous from set-plays but they have one chance and they win the game.
"But that's been our Achilles heel all season - when we are on top and creating chances we are not ruthless enough."