The Robins led through Elvis Hammond's first-half strike but Lee Barnard's second-half double guided the Shrimpers into the second round, exacting revenge for Southend's defeat to the Gloucestershire outfit at the same stage of the competition last year.
But Allen said: "It was good for us to play against players from a higher league and Southend are a very good side.
"We won't hang our heads in shame because it wasn't that sort of night and overall I was delighted with the way they applied themselves.
"As a team we looked very solid in the second half and restricted them to very few chances. We were disappointed to concede goals because they never really looked a threat in the second half.
"I thought the second half was better, but we need that for 90 minutes on a consistent basis. The players will be fine because they are a strong group."