The West Yorkshire club led their quarter-final 12-10 at half-time and looked capable of inflicting their opponent’s first defeat of the year.
Super League champions Saints improved in the second period and eventually eked out a 23-18 victory as Wales winger Regan Grace finished with a hat-trick of tries.
However, Watson was confused about why Josh Jones had a try ruled out in the first period and questioned other decisions by referee James Child in the fiercely-fought contest.
“Against the best teams it’s about real small margins,” he said.
“Some of the calls can be quite tough as well. We just feel like we need to let the players probably decide the game.
“Every game we’re playing in we seem to have some kind of incident.
“We scored four tries last week (in first Super League win against Leeds Rhinos) which were all disallowed.
“The Sky cameras are here today so I don’t know why Jonesy’s try has not been checked.
“At the back end of the game when it’s so tight and you get a decision like the ‘six again’ one...?
“There were a few that were missed. There were a few for St Helens as well. It’s just the consistency which is a little bit frustrating.”
Having also pushed Saints close 18-10 in their Super League meeting, Watson believes his side is improving.
Winger Darnell McIntosh (2) and Michael Lawrence scored tries with Aidan Sezer adding three goals.
“I do have to say I am really proud of the guys,” he added.
“If you look at our two games against St Helens - the best side in the competition - and the way we have competed and really challenged St Helens, we’ve just missed out on small margins.
“The more and more we can get in games like that, the better we’ll be at the back end of the season and then we’ll turn those into wins.
“And I’m 100 per cent confident we can (challenge for the play-offs).
“We’ve got to be like that against all the teams now; that’s what’s required of us now as a team.”