Veteran McSheffrey opened the scoring for the visitors after 17 minutes, before debutant Jim O'Brien - who only joined on loan from Coventry on Monday - added a second in injury time.
And Daws was struggling for superlatives for McSheffrey as Scunthorpe racked up a fourth-straight win.
"If there is one thing we know about Gary McSheffrey it is that he creates and scores goals," Daws said
"For long parts of the game he hasn't had the ball and had to work hard defensively for his team
But the one he scored from a team perspective warranted a team above the level we are playing at now.
"It was an outstanding goal and an outstanding finish
But we have good players and we will continue to tell them that every week
If they continue to improve we will continue to improve.
"We have had to defend in the last four games because teams are not going to let things lie and we expected that from Millwall.
"They were on fantastic form so we knew it would be a really difficult place to come so it was even more pleasing on a Tuesday night when we have not had the preparation we would have for a Saturday game."
As for Millwall, this was a first league defeat in seven games and manager Neil Harris was left ruing a lack of experience in his young side, especially after Ed Upson had to be replaced.
"Ed Upson's injury is a tight hamstring but we will check that tomorrow," Harris said
"In a young group you get naive decisions and that was clear at times
Once he'd gone off we struggled a bit from set-pieces but we shouldn't
But it's a learning curve.
"We didn't use the ball wisely or as well as we have done in recent weeks and we gave the ball away too easily.
"There were key moments in the game but we were not clinical enough on the night
I thought (Lee) Gregory's chance was a great bit of skill and he was unlucky and we had the chance cleared of the line in the first half.
"And the chances were a bit too far and few between
It's a young group and I've told them not get down when you lose and not to get too excited when we win
"It is going to take time but we will get it as a group and we are going to learn."
Source : PA