An 85th minute strike from Kevin Phillips - the man ironically given his big break in league football by Roeder at Watford - secured an undeserved three points for Peter Reid's men, who were held at bay for the majority of the game by a solid defensive display from the visitors and had keeper Thomas Sorensen to thank for the fact that they somehow kept a clean sheet.
Said Glenn afterwards: "I thought it was a very good away performance up until the last five minutes. We'd created three or four very good chances but we couldn't finish them off.
"A mistake has led to Kevin Phillips getting his only chance of the afternoon and, unfortunately for us, he's tucked it away.
"Normally in a game, Kevin has three or four chances but today we've restricted him to one yet he's still scored and there are some very disappointed players in the dressing room."
There was also an overriding sense of frustration for the Hammers, who had breached the Black Cats defence on numerous occasions but failed to find a way past the inspired Sorensen.
Roeder admitted that his side's shortcomings in front of goal had cost them dearly.
"There were some good chances at the other end, Jermain Defoe normally finishes those but it didn't go for him today and he has got to learn from that and keep working hard at his game.
"What typified our day was the shot from Michael Carrick that hit the crossbar - we were close but not close enough. I was happy with our performance but there was no reward at the end of it and that is what hurts you.
"We played really well, definitely deserved to win the game but have no points to show for it and I am so disappointed."
The Hammers boss ruefully concluded: "It just wasn't our day. It's not an excuse, it's a fact. We need a few performances where we play well but also get a bit of luck because I think we're owed plenty at the moment."