The U’s suffered stoppage time heartbreak to lose 3-2 at Coventry City, while Arnor Sigurdsson netted a Blackburn Rovers winner with seven minutes to go at Ewood Park.
United had taken the lead via a sensational Mark Harris volley from distance, but Joe Rankin-Costello grabbed an immediate equaliser before half-time.
Sigurdsson had the final say, cutting inside from the left-hand side to then smash a strike off the far post.
U’s head coach Buckingham said: “That’s what you get at this level. I thought in the first half, we were very good, but we should’ve converted a couple of the chances.
“We actually scored the more difficult one of the three good moments, but that’s the difference.
“I think for the equaliser right on the stroke of injury time, there’s a foul against Ciaron Brown in the box.
“It’s not intentional. He’s cleared the ball and then got headed in the back of the head, and stayed down.
“There’s a bit of a melee afterwards, and it goes in. I think when you go in at 1-1, especially away from home, it just makes it that little bit more difficult, but we’ve had enough good play in the first half, and enough chances.
“Yes, it’s fine margins at this level, but we need to make those fine margins in our favour. Fine margins are big at this level, as we’re quickly finding out.”
He added: “When you’re away from home, and it’s 2-1, the game can become a little bit scrappier than it needs to be.
“For a couple of reasons, we just need to remain calm in those moments, to make sure we continue to do what we need to do.
“There have been some really good moments, and we’ve shown we can compete at the level, and not only that, but put ourselves in the position to win these games, but we need to take those moments and opportunities because we may have got away with it in League One, where we may have another two or three more, but we don’t get that at this level.
“That’s been the big noticeable difference, certainly today against a very good Blackburn side and atmosphere.”