Fans witnessed ugly scenes at Loftus Versfeld Stadium yesterday as both clubs fought to occupy the same bench before the start of the quarter-final tie.
"It's embarrassing and a shame in South African football that we can have such things," Baxter told reporters after the 3-1 loss to Sundowns.
"I am not accusing anybody of anything. I am just saying that in a game where you see a parade of two teams trying to warm-up in the same area, that means the warm-up is compromised and at that point you can call the game off."
The former Bafana Bafana boss also felt Downs defender Ricardo Nascimento should have been sent off for a foul on goal-bound striker Kingston Nkhatha.
"Thought that was a wrong decision by the referee when he did not give a red card to the Brazilian defender when the fourth official tells me he broke up a promising attack. He was the last defender when Nkhatha went through and that is a red card."