The duo are set to stay at Vicarage Road until New Year's Day - but after this televised show, Mackay will be working overtime to keep them.
Defender Adrian Mariappa gave Watford the lead from close range, and Lansbury swept in a fine second after a one-two with Cleverley.
Marcus Tudgay gave the Owls some hope. But Jon Harley and then Lansbury again scored excellent second-half goals to give the Hornets a thoroughly deserved three points.
Mackay said: "It's up to the parent clubs whether they want them to stay with us.
"Both boys are enjoying being here and playing in the Championship week in week out - and they are getting that experience here in a very tough league.
"You loan players from top teams, and it helps them to flourish as a player.
"They are giving us quality and they have been embraced by the players here. They have shown great humility; they are involved with everything we do at this club, and we are delighted with them.
"Henri went to Scunthorpe when he had the chance to stay in London, and I really respected that. He stepped outside his comfort zone and was keen to learn.
"Clubs have to trust us to develop their players - and two of the best clubs in the country obviously do that, which is a boost for us."
Watford are now just three points from the top of the table, but Mackay is not getting carried away.
He said: "All I ask of them is to be competitive in every game - and if they play like that every week then they have a real chance."
Wednesday boss Brian Laws felt let down by his players, and blasted their defending as "a shambles".
As outstanding as Cleverley and Lansbury were, they were certainly afforded time and space by the off-colour Owls.
Laws pulled no punches.
"The only way to remedy defending like that is to make changes, and I will have to do that now," he said.
"I am bitterly disappointed. I can't stomach basic mistakes like that. They walked through our defence at times, and you just cannot defend like that.
"Every one of them has to take responsibility. They were a shambles, and it's the first time I've ever had to say that about my team.
"The players are embarrassed by that performance.
"The two young lads were excellent, but we didn't deal with them and gave them too much freedom. They had energy and caused us problems - but we sat so deep it was incredible."