The video assistant referee was used three times during the Premier League match at Bramall Lane – each time going in the visitors' favour.
Wilder agreed that Oli McBurnie's goal, which would have put his team ahead, was correctly ruled out for offside and that Billy Sharp deserved to be sent off for what he called a "lazy challenge".
However, in between, James Ward-Prowse looked to have handled the ball while defending a corner but the Blades were not awarded the penalty that would have given them the chance to equalise.
During a week in which the Premier League revealed that VAR failed to overturn four incorrect decisions during the first four rounds of matches this season, Wilder thinks another can be added to the list.
"There were three big decisions. Billy deserves to be sent off. It was a centre forward's challenge, a lazy challenge, and maybe a bit of frustration from him, I've no issue with that decision," said Wilder.
"Our goal – I've no issue with that either. John Egan has gone a touch too early and the goalkeeper has been distracted by his movement before Oli taps it in. That's fine.
"But the third one is a penalty in my view. If you look, there's three of our boys around him (Ward-Prowse) waiting to tap it in and they haven't been able to because his hand is in an unnatural position.
"Whether the referee or linesman has not got a good view, I don't know. But I don't think you can really get that wrong in my opinion, it's an easy one to pick up."
There was nothing wrong with the goal that settled the match, with Moussa Djenepo marking his first Premier League start for Southampton with the winning strike.
The Mali international forward, signed from Standard Liege in the summer, scored the only goal of the game after 66 minutes to give Saints a 1-0 victory.
It was the decisive blow in a game in which both teams spurned gilt-edged chances, especially in the first half.
Overall it was harsh on the Blades – whose frustration was compounded late on when substitute Sharp was shown a straight red card against his old club after catching Stuart Armstrong on the shin with a late challenge.
Saints boss Ralph Hasenhuttl was pleased to see his brave tactical decision pay dividends as he started forward Djenepo as a wing-back despite Ryan Bertrand being fit.
He said: "We decided to change the shape after three games unbeaten – not the easiest way but we were brave. Maybe it was surprising for the opponent and it is something I demand from my players – that they are flexible.
"The way we played Moussa, sometimes you could see that maybe this wasn't his best position. But I wanted to be brave and show that we wanted to take the three points here.
"You could see that he wasn't always comfortable in this position but when we switched him to where he scored from later in the game, it was good.
"When he has the ball in that position he is unbelievable, you can not catch him and he is so quick with good movement. It was an important goal."