Rovers dominated the first half but could not find the net and were punished when Harvey Knibbs capped a Cambridge breakaway in stoppage time before the break.
The hosts extended their advantage through a Harrison Dunk header before Joe Dodoo pulled a goal back for Rovers, only for Sam Smith to seal the win for Cambridge late on.
Though Rovers fell to a fifth straight league defeat, McSheffrey believes his side are on the right track to ending that run.
“If you lose a game of football, it’s about the manner you do it,” he said.
“In the last two games, they can keep their heads up because the fans can see they’ve had a go and are creating. I can see it and I can’t ask much more of them.
“It’s now down to game management and nipping some individual errors in the bud.
“And it will come.
“We’ve worked our socks off and it’s the best we’ve played by a mile. We were 3-0 up at Morecambe but we played a lot better than that.
“We have to look at it as a defeat but progression in terms of performance level.
“If they keep performing like that, I can’t ask much more of them.”
Rovers have played a more direct game in their last two matches, putting longer balls into the front man or channels to get opposition defenders on the back foot.
McSheffrey says Rovers current position demands the most effective approach, and he makes no apologies for that fact.
He said: “I’ve said to the players don’t get bored or embarrassed turning teams because where we are, we’re not going to play beautiful football, playing through the thirds and then giving the ball away and get done on the counter.
“I thought we worked the game plan brilliantly in the first half.
“We turned them, we played on second balls, played through the thirds, switched play and did really well.
“To come in at half time one down having hit the woodwork three or four times, Kieran [Agard] having the great chance with the header, the goalmouth scramble.
“There was one point where I thought we really need to score or we’re going to get punished.
“I don’t think the Cambridge manager could have argued if we went in 5-1 up at half time.
“But you’ve got to take your chances.
“Cambridge probably haven’t had a team come here and play them off the park like we did in the first half.”