Saints put in a good performance that deserved a win, but ultimately a failure to finish cost us dearly again.
A revamped Saints side put in a decent display that might give Mark Hughes food for thought in his selection on Saturday assuming that he is still in a job.
But it was a case of missed chances especially in the latter stages when Saints saw three good attempts not making the scoreboard, firstly Nathan Redmond capped off a great run by smashing the ball against the bar, the rebound looked a formality for Michael Obafemi, who scuffed his shot in the ground when it looked easier to score.
Then it was Redmond again who ran at the defence but a nudge left him off balance and as Steve Davis crashed the ball home the referee invoked Var and it was ruled that Redmond had handled, I could understand the Leicester appeals, but it looked more accidental than deliberate.
Then in the final minute Manolo Gabbiadini hit the woodwork from a free kick 5 yards outside the box, you just felt that it was not Saints night.
So to penalties, both sides scored the first five each with ease, then up came Gabbiadini, he looked too casual and so it turned out with the keeper saving and it only needed Leicester to net the 12th penalty of the night which they did.
But there were plenty of plus points to take from the performance, Vestergaard looked better at the back than he did earlier in the season, Hojbjerg and Lemina again dominated the centre of midfield and when joined by Steven Davis in the closing 15 minutes that seemed to add a composure that we have lacked of late.
Man of the match according to Sky was Nathan Redmond and it was hard to argue with that, he was at the heart of most Saints attacks and we need him to do that more often.
Yan Valery didn't look out of place and again might make Hughes think after Cedric's stinker at Fulham.
Possibly the only disappointment was Michael Obafemi, he just didn't look sharp, his missed chance was not as bad as some would make out, but it was still poor finishing and had it been Long or Charlie Austin social media would have been full of Saints fans demanding that they be crucified forthwith, Obafemi is a talent but if we are not careful the pressure on him to perform might overwhelm him.
So a disappointing ending to the match, but it showed that our squad is not as bad as some would say, the issue in the main is not the squad but the way it's being deployed.