The 27-year-old, who joined Sundowns in July from Cape Town City, came close to achieving the feat with is former club SuperSport United in 2009/10 but he was loaned to FC Cape Town at the time.
Lakay later won the Nedbank Cup with SuperSport in 2012 and the Telkom Knockout with Bloemfontein Celtic, with victories in both finals coming against Downs.
The versatile player nearly won the MTN8 with City last term but he missed the decisive penalty in the shootout loss to Matsatsantsa in the tournament decider.
Looking ahead, Lakay naturally hopes to add to his silverware collection with the Brazilians.
"I would want to win everything," Lakay says without hesitation.
"I would want to win everything and obviously winning the league. I missed out on the second or third one with SuperSport United when I went on loan to FC Cape Town.
"I think Daine Klate hurt his collarbone that season and Gavin Hunt (then-SuperSport coach) wanted me back but Khabo Zondo, the coach at FC Cape Town, asked to keep me.
"Otherwise I could have gone back and had a league medal by now, but it's life.
"So hopefully I can win one here and plenty more."
Meanwhile, Lakay has embraced the stern competition for game-time at Chloorkop with the likes of Tebogo Langerman down the left. Lakay has made a decent start to the season, playing in five matches.
"Competition is healthy, you know," he says.
"Whether I play or whether he plays [Langerman], we always support one another. He always guides me seeing as he's always been playing longer than me, I'm new to it.
"So competition is always healthy because the one that is playing it pushes you, so that is how you build confidence."