Caolin Blade crashed over to give them hope, but Connacht could not recover from 18-3 down and tasted defeat for the first time since January.
But Lam was satisfied with their display and insists that thanks to the squad's strength-in-depth, their fight for silverware on both domestic and European fronts is still firing on all cylinders.
"We don't talk about moral victories," he said. "The outcome is the outcome, but what we talk about is what we did well and what we didn't do so well.
"A lot of people will go back and say that was a good reflection of the character of the boys. However we'll also go back and look at the times we ran the wrong lines.
"Some guys weren't in the right place at times and we were inaccurate at the breakdown, albeit against a pretty motivated, hungry and desperate Ulster team, who put a lot of pressure on us.
"So win or lose we'll go through the same process.
"I thought tonight (Academy centre) Peter Robb was outstanding, and (full debutant) Shane O'Leary at fly-half did really well too. So there's a lot of confidence in the group, and we don't fear anyone.
"We have an opportunity next week, if we perform well, to go into a semi-final. Every game is a big one, a final. Win and you're through; if you lose one you're out of the competition."
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