All the optimism for the start of a new era under Erik ten Hag and a positive pre-season were wiped out in a desperate first 45 minutes at Old Trafford that very much belonged to last season.
Pascal Gross scored twice in nine minutes for the Seagulls, who outplayed United with brave, forward-thinking football.
An Alexis Mac Allister own goal after the break, which Dalot played a part in, got Manchester United back in it, but Ten Hag was unable to avoid defeat in his first competitive game in charge.
This is the start of a very big rebuilding job for the Dutchman, but Dalot believes results will not take long to come.
"Obviously, that is what we are here for," he said. "This result is not going to take our heads off the path we need to do.
"It is a setback but in football you don't have time to think a little bit, now we have to analyse and definitely do better.
"There were still some positives, the second half we had some good plays, we were a little bit more organised. We are going to have some time this week to organise and definitely do better for Brentford."
United fans suffered more misery and they booed their team off at the interval and full-time and Dalot knows the players have to start delivering.
"It is not an issue, they are with us 90 minutes, I am sure," he said.
"But obviously we need to perform and we need to push them with us as well, we need to give them joy of watching us.
"That is what we need to do and that is the aim that we want to win games, control games and have the fans with us for 90 minutes."