Ryan Leonard grabbed his second goal in as many matches for the Shrimpers in the 58th minute, via a deflection off O's defender Mathieu Baudry.
"We created enough on the evening to get ourselves a couple of goals but we didn't get anything," said Slade after the first-leg defeat at Brisbane Road.
"Now we trail going into the return and that will make life very difficult for us. The conditions weren't great but it's the same for both sides. It was a real cup tie, both teams were having a go but it wasn't easy in those conditions.
"Their keeper made some great saves, he was well worked and kept them in the game. David Mooney had a great chance towards the end when Moses Odubajo crossed the ball in and you would have fancied him to put the ball in given the recent form he's been in, but he's hit the crossbar.
"But there's still a lot to play for, it's only half-time. We are now the underdogs, Southend are at home and so I would think that the greater part of their job is done.
"I think it's far from over, there is still a lot of football still there. We are still well in the game, even if we are still trailing by that one goal with 15 minutes to go, you've seen that we still create chances. We'll try and take it to the wire, to be sure."