Huddersfield Giants boss fuming after Wigan Warriors defeat
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The Giants had looked on course to end their 69-year wait for a win in the competition when they led 14-12 until the 76th minute, only for Marshall to touch down and snatch glory for Wigan.
And Watson, whose Salford side lost by a point to Leeds in the 2020 final, believes that was tough on his players.
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Hide Ad"Massively tough, the boys put in an enormous shift. I thought we were outstanding as a group," he said.
"I think we were the best team for large parts of the game and we've just not got what we deserve probably.
"It's worse than the other time being here for sure because they deserved that.
"I do (think Huddersfield were the better team), and that's what hurts.
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Hide Ad"Because they've put that effort in and it's just come down to one little moment in the game where they've caught us and generally that's what the big games are."
Watson also believes Wigan prop Morgan Smithies was fortunate to stay on the pitch, after being penalised - but not carded - for a couple of challenges in the second period.
"I was expecting more if I'm being honest," said Watson. "But he didn't give it, and it is what it is.
"We'll have to see what the match review panel decides, but I did think it was a little bit of a deciding moment.
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Hide Ad"It could have gone either way...it could have been a sin-binning or a sending off, with the contact he made.
"Whether he had a good enough view of it, I don't know.
"But if I call the referee in here I'm going to get another fine, so I'm not going to do that."