And Jose Mourinho's post-match comments will not have helped much as the Old Trafford chief twisted the knife.
The Special One admitted he knew he was struggling as soon as he hit sudden death with his two centre-backs coming up.
Mourinho, 55, said: "The penalties come and after the sixth I knew we were going to be in trouble with Bailly and Jones.
"The shootout is a lottery. We missed one and we knew if we go past seven we would be in trouble."
United took an early lead through Juan Mata only for Liverpool loanee Harry Wilson to level with a Gareth Bale-esque free-kick.
Jack Marriott scored what looked to be a late winner for Frank Lampard's Rams but super-sub Marouane Fellaini struck an injury-time leveller.
And Lampard – who warmly embraced former mentor Mourinho before kick-off – was delighted with his side's win.
He beamed: "I'm shell shocked. What a performance. To go down early at Old Trafford and play as well as they did was superb. We had the personality to take penalties and play the way we did. I am a proud manager.
"It was the easiest selection I have had, the players weer superb against Brentford and they deserved the chance to play at Old Trafford.
"I wanted to bring a team who could really compete. I am so proud of them. To go up against Jose Mourinho and those players is immense.
"Harry Wilson does do that in training, he proved me wrong as I thought it was too far out. Both he and Mason Mount are going to go a long way."
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