Connacht currently sit sixth in the GUINNESS PRO12 table with seven wins and a draw from their 13 matches.
With Lam's troops not in PRO12 action until their visit to Scarlets in February, attention turned to Europe and their English visitors over the weekend.
And Lam's side found themselves with a 17-10 lead at the break after Matt Healy, Willie Faloon and Danie Poolman all crossed over in the first half.
Connacht struggled after the restart with Exeter pulling away to a 30-17 lead but the Irish outfit refused to give in as they went in search of two bonus points.
They grabbed one courtesy of another Healy try but couldn't muster up any more resistance - eventually going down 33-24.
And, while Lam admitted his side need to take a long look at themselves, he was proud of the commitment on display.
"That's the thing with this group of guys - they'll never give in. They'll keep going," Lam said.
"It was a good decision to go for the points and try and get another bonus point, and more importantly, to give us a chance to win the game.
"Unfortunately, we missed a few kicks today and they nailed their kicks, and that scoreboard pressure told in the end.
"After half-time we had a clear plan of what we needed to do, but we turned over ball three or four times within six minutes, which gave them opportunities and meant we couldn't get field position.
"The moment we got field position, we got right down there and we scored, but that took a long time to happen.
"We need to really look hard at ourselves, at our performance, as individuals, then as a group and as a team. But it's not hard to fix."
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