The Alex face the Shrimpers in the Johnstone's Paint Trophy final on April 7 and Sturrock will be in charge of their opponents, despite having been replaced by Phil Brown as manager.
Sturrock's contract was up in the summer and chairman Ron Martin decided to bring in a replacement early so the club could hit the ground running next season, but decided the former Sheffield Wednesday boss deserved the chance to lead the team out in the final.
Davis does not want the issue to prove a distraction for his side and told Crewe's official website: "I found it a strange decision and I think Paul will find it difficult to take the team in the final knowing that someone else is in charge now.
"I am sure it has never happened before. It is a strange one and I don't know how Paul really feels about it.
"I like Paul. I got to know him quite well in last season's play-offs and he was the first manager on the phone to congratulate us on winning promotion which was a great gesture. I have a lot of time and respect for him.
"I'm not sure how Phil will perceive everything but all we can do when the final comes around is focus on ourselves and make sure we are right."