Alleyne was fielded out of position after Marc Bola did not train until Friday this week and with Caleb Wiley still recovering from an adductor injury.
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The Manchester City loanee started the game brightly but, as Pezzolano acknowledged, found life more difficult in the second half, though the head coach believed the fault lay with the team as much as the player.
He said: "In the first half, Max did very well.
"In the second half the team got split, so that's when he started not to look as good, but he's a very good player.
"He understands everything and he has the quality to get us that volume on the ball.
Defeat at home. pic.twitter.com/YYA16gOtrK
— Watford Football Club (@WatfordFC) September 13, 2025
"He was very brave and showed great courage by accepting playing in that position today.
"He understands the game in a way that we like and he probably needs to have that connection with team-mates around him to allow him to play the way that he knows.
"There are some errors in his understanding of when the ball has to go long and when he needs a short pass, but overall it was a good game for Max."
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Mamadou Doumbia was handed a start alongside Luca Kjerrumgaard in a front two, but was substituted just before the hour mark after missing one of the Hornets' best opportunities in the first half.
Pezzolano said: "Mamadou is a young player and right now he knows there are other players ahead of him.
"We need to keep working with him. He had chances and the fact he had chances means he was where he was supposed to be.
"It's about working with him to develop."