Shaw said Sleaford were outfought as they fell to a last-minute sucker-punch at home to South Normanton Athletic in the extra preliminary round.
It is the fourth time in five seasons that Town have fallen at the first hurdle in the world’s oldest domestic club competition.
“It was a frustrating afternoon that’s for sure,” said Shaw.
“We were poor in the first half although were able to keep them mainly at arm’s length and protected our keeper from too many shots.
“We paid the price for our sloppy performance when we conceded the winner.”
Town went into the game buoyed by more midweek signings as Archie Moyses confirmed his return, and Ben Greenwood joined brother Sam in the Town ranks and went straight into defence for Saturday’s tie.
Sleaford came into the game in good spirits following their outstanding win at Newport Pagnell, but South Normanton started the stronger and created two decent first-half chances against a lacklustre home side.
Town were much improved after a frank half-time team talk, with Joe Smith inches wide from Luke Hollingworth’s free-kick just before the hour.
Shaw made three changes in quick succession, with one of the subs, Sam Greenwood, going close to an instant impact when he rattled the crossbar with 20 minutes left.
Clear-cut chances remained at a premium as Town piled on the pressure, looking for a late winner.
But against the run of play it was the Midland League Premier side who delivered the coup de grace, as Town were caught pressing high and King finished off a counter-attack three minutes from time.
“We were much improved in the second half, but still some way off the standard of performance that we have set for ourselves,” Shaw added.
“From our point of view it was a poor goal to concede, but credit to South Normanton as they outfought and outworked us for much of the match, and this was reflected in the goal they scored.
“We will have to move on now and try and get back to the level we should be at as quickly as possible.”
Their next chance to do that comes on Saturday when they host Northampton ON Chenecks in the league at Eslaforde Park (3pm ko).
Town: Adams, Hargrave, Ward, B. Greenwood, Hollingworth, Bolland (Harris 65), Machin (S. Greenwood 62), Worthington, Smith, Couzens, Hayden (Oliver 69).