The Championship outfit provided a much sterner test than Huddersfield last week and a second-half double from Leon Clarke condemned the Shakers to their first pre-season defeat.
"It was a good work-out but I have to say we're disappointed," said Knill.
"Everybody has come through unscathed but we think we're better than that. We didn't make a tackle for the opening 30 minutes and that's not what we think we're about.
"It was boiling hot but chances are it'll be hot at the start of the season and we know we're fit so there's no excuses.
"We didn't perform as well as we did against Huddersfield but sometimes there's a bigger picture - they've all got their minds on two weeks away.
"We need to play as we're going to play on August 9, and that's with energy and pace. At times we did that but we just want more of it."
Knill expects an even tougher test when Wednesday's city rivals also visit Gigg Lane, with United set to field a host of big names as well as former Shakers Paddy Kenny and Chris Armstrong.
"No disrespect to Wednesday but I watched Sheffield United last week and they played Ugo Ehiogu, Danny Webber, Lee Hendrie and David Carney in a reserve side so that's the sort of squad they've got," added Knill.
"It'll be a big test and we're not expecting to beat them but we want to compete in every game.
"It's about performing better than we did on Saturday and putting into place the things we work on every day in training."
Knill has offered one-year deals to trialists Danny Racchi and Mike Jones.
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