Davids therefore hopes they can offset that feeling by going all the way in the Telkom Knockout.
The Team of Choice will host Highlands Park in the last-16 of the TKO at Harry Gwala Stadium on Saturday (20h15).
Maritzburg exceeded expectations last term by finishing a best-ever fourth in the league and reaching a maiden cup final.
However, they are finding the going tough early on in 2018/19, as they are yet to win at home and find themselves in 13th place on the Absa Premiership table with seven points from as many matches.
Davids says his men have a big opportunity ahead of them.
"It's a fantastic opportunity for our players. There's still the pain of losing the final and it is still with us every day," Davids said.
"This is an opportunity to correct that, but we shouldn't be thinking about the final. We shouldn't be thinking about winning the cup, we should only be thinking about Highlands Park and getting through to the next round.
"I think that is the first step and that is the only focus we have to have at this stage, the rest will follow. Putting up a good performance I think is the first step and going through to the next round is the only focus now."
One of Maritzburg's rising stars Bandile Shandu, who scored the goal that saw the club win their first game of the season against Bloemfontein Celtic last month, also admitted that losing the Nedbank Cup decider was painful.
"Yes, it was painful, but we learn from that," Shandu said.
"I think we shouldn't get too carried away. I think we should take one game at a time. Right now the focus is on Highlands Park and the focus is to get the result there and to move on.
"But yes, it was painful and we learn from that."
In team news, Maritzburg will be without long-term casualties Keagan Buchanan (ACL) and Yazid Atouba (undisclosed injury).
The club will hand late fitness tests to Yannick Zakri (groin strain) and fellow striker Andrea Fileccia (hip problem).