Mudau was penalised for what was deemed a slap on Mohamed Salah, and after the Pharaohs captain went to ground, VAR intervened, prompting referee Pacifique Ndabihawenimana to review the incident before pointing to the spot.
Speaking to SABC Sport, Mudau said he immediately felt the spot-kick, later converted by Salah, should never have stood.
"No, I don't think that was a penalty in my opinion, but the referee awarded it and there's nothing we can do, now we just turn our focus onto the next match."
Egypt were reduced to 10 men on the stroke of half-time, but Mudau admits Bafana Bafana lacked the cutting edge needed to capitalise and force an equaliser.
"We did everything right, we wanted to score, but we didn't have the luck and we couldn't score. We have to make sure that we win the next one."
Looking ahead, the right-back insisted he was not worried as Bafana prepare for their final Group B encounter against Zimbabwe on Monday.