The Lilywhites' outside chances of making the play-offs now look more remote after the 3-0 defeat which saw Alex Baptiste sent-off late on for a stamp at United's Pablo Hernandez.
Tom Barkhuizen missed two good chances for North End early on, the second of those when he got clear on goal.
They were left to rue them when Keemar Roofe's deflected shot looped over Chris Maxwell for Leeds' opener, a lead which was doubled just half-time by Hernandez.
Substitute Souleymane Doukara scored the third on the break three minutes into second-half stoppage time.
Grayson said: "I thought 3-0 was harsh, we spoke about that on Boxing Day when we got done 4-1 by them.
"When you look at the game overall the big key points were both boxes, we didn't defend well enough throughout the game and gifted them opportunities.
"Then when we did get chances, we weren't ruthless enough to take them.
"We started the game really well and had two great chances, the header from Tom Barkhuizen and when he got through one-on-one.
"Before you know it, we switched off and Leeds got their noses in front.
"That gave them a lift, the opportunity to really take the game to us.
"We weren't good enough defensively and that was the big aspect of the game because we played well in midfield and at the top end of the pitch.
"We are talking three experienced defenders making key mistakes today - Tom Clarke, Baps and Paul Huntington.
"Leeds didn't have to work too hard to win that game which was poor from us.
"We wanted to come here and be solid, hard to beat, that is why we went with the system 3-4-1-2 which we did, with two strikers up top."
Grayson says he will have to study footage on Baptiste's 86th minute red card before commenting in any depth.
"I didn't see anything to be fair, Baps said the assistant gave it from the far side for kicking out," said Grayson.
"Baps says he hasn't done anything but I can't comment having not seen it.
"It was a straight red card, if we look at it and don't think it warrants a red card we will look at the situation."