Maritzburg beat Ajax 2-0 courtesy of a brace from Zimbabwean striker Evans Rusike at Harry Gwala Stadium.
Fadlu Davids' outfit currently top the Premiership table with six points from two games, while they will visit SuperSport United in the first leg of the MTN8 semi-finals on Saturday after knocking Mamleodi Sundowns out of the competition.
Menzo's side are second-from-bottom on the log, having drawn 1-1 with Golden Arrows at home in their 2017/18 opener.
"Yes, it was a fair result to lose 2-0. I saw a very good Maritzburg United against Mamelodi Sundowns, I saw them against Platinum Stars [2-0 win]. They didn't let us play our own game," said Menzo.
"We couldn't build up and we had to play the long balls, which was not our strength so they did very well. But we could keep them away from us, not away, but we could hold them and the moment we thought we had the feeling that we were in control then they scored the goal. That was a great pity because at that moment we were starting to play our normal game to keep the ball possession.
"The second half it was the same and they were tired, they used a lot of energy Maritzburg. So we could play. The moment we thought okay, we're coming closer, closer we received a second goal and the game was over from my feeling."
The Dutchman also gave an update on the status of former captain Travis Graham, who has been training with the reserve team since making clear his desire to leave the club.
"Travis wants to go overseas so that's all," said Menzo.
"I don't know if there's any offers... nothing. He said 'I want to go' and we said 'Okay then if you want to go, then you have to come to the team with an offer and we can speak' but now there's nothing.
Menzo is hopeful new Nigerian signing Ejike Uzoenyi can receive his work permit in time for their next match with Orlando Pirates at Orlando Stadium on September 12.