And Loach turned in another impressive showing as his early save from a Chris Morgan header provided the foundation for Watford to go on and earn victory.
Mackay said: "There was a lot of speculation and distractions around Scott yesterday but he realises the benefits of staying here and playing regular football and he was outstanding again.
"This is his first full season and he is improving every week.
"I made my feelings clear about keeping Scott and I was not put under any pressure to sell him.
"So given the recent financial situation at this club that is credit to the board, but also credit to Scott, his family and his advisors.
"He is aware of what will come his way in the future but he understands that he needs to stay here for the time being and his attitude is first-class."
After Morgan was denied by a brilliant save from Loach, Tom Cleverley headed Watford ahead after a mix-up at the back for the visitors.
More slack defending then allowed Heidar Helguson to make it two after the break before Don Cowie's free-kick from the left wing floated straight in.
Sheffield United boss Kevin Blackwell admitted his side's wretched defending was behind all three goals but felt that a new-look back four was the main reason.
Blackwell saw Spurs right-back Kyle Walker recalled from his loan at the last minute on deadline day, while Fulham left-back Toni Kallio was not registered in time to feature.
Captain Morgan also limped off with an injury to leave Kevin Blackwell with concerns for the rest of the season.
He said: "I was a bit surprised myself by that performance but we had mitigating circumstances.
"Yesterday we had a back four lined up of Kyle Walker, Nyron Nosworthy, Chris Morgan and Toni Kallio which looked as good as anything out there and I've ended up with nothing like that on the pitch at the end of the game.
"I've got players coming back from injury who are being asked to do a job and they are not ready. That was evident from that performance.
"Nyron has done no work with us and the back four was disjointed from the start.
"Watford have not had to work for their goals, they were all gimmes and that is unfortunate. To make it worse it looks like Morgan has broken a rib and he is the last player we need to be losing now."
Spurs chose to recall Walker at 4.45pm on Monday after they allowed fellow right-backs Alan Hutton and Kyle Naughton to leave on loan and Blackwell admitted the call came out of the blue.
He said: "We only knew about it 10 minutes before the deadline but Spurs are well within their rights.
"It was a complete surprise but football is full of surprises and you have to deal with it.
"We threw the game away but the lads have been terrific for me since I came here and you occasionally have to take a result like this."