And the misses could indeed prove costly come May with Reading still breathing down their neck in third as the automatic promotion race gathers pace.
"We had enough chances to win two or three games, it's two points dropped," said McLeish.
"I'm not going to blame individuals, there were a few terrific chances for all three of our strikers and they didn't take them.
"It's two points dropped and now the other teams around us have an opportunity. But there are still 12 games to go and we are going to have to win eight to 10 of them."
Bent steered a header wide from in front of goal in the first half before midfielder Lee Bowyer toe-poked the ball wide after a hashed clearance dropped to his feet in the area.
Costly, making his first start for the Blues, was put through by Sebastian Larsson but got stage fright and snatched at his shot.
And during five minutes of stoppage time Jerome failed to get his head on the end of a cross from virtually on the goal-line.
Palace played the final quarter of an hour a man down following Nick Carle's dismissal for a crude challenge on Jerome but the Blues could not take advantage.
The Eagles chief threat came from teenage forward Victor Moses, but he is now facing a month on the sidelines after being stretchered off with a hamstring injury.
Palace boss Neil Warnock was predictably unhappy with the performance of referee Paul Taylor, for both the sending-off and a penalty claim when Neil Danns appeared to be pulled back in the area by Keith Fahey just before the break.
"On the video it's a penalty - it's a pity the technology is not done at the time," he said.
"We don't think it was sending-off, we think he took the ball. But it was consistent with his performance, the sending-off.
"It was a pity because I thought the lads did well tonight. We let them have a couple of chances but we had a lot of chances as well.
"I'd like to say what I feel - but I better not."