The home side looked set to pick up where they left off last season as they opened up a half-time lead before the boot of Rhys Patchell saw Blues fightback and take the lead with 15 minutes to go.
A late try from Tommy Seymour ultimately proved the difference between the teams - with scrum half Lloyd Williams denied a try by the TMO with two minutes left.
However, Davies was upbeat about the prospects for the season after watching Blues produce a display packed full of endeavour, physicality and desire.
"I was pleased with the way we played and managed the game," said Davies. "With ten minutes to go we were 15-12 ahead.
"I was not so pleased with the fundamental errors we made. There weren't that many to be honest, but we did make three or four that were costly.
"Our indiscipline saw us lose two guys to the sin bin and to play 20 minutes with 14 men is not great at this level.
"The character and tenacity of the players was fantastic," he added. "We've got to hold onto that and go back home for the next two matches and make sure we get two positive performances and victories.
"Overall, as a performance, I was pleased and we got a bonus point on the road which is good. It was important we took something from the game; we deserved to take something from the game.
Heavy rain descended prior to kick-off and remained throughout as both teams battled the elements.
But Davies saw his team react to the conditions and cause Warriors plenty of problems as the visiting half backs controlled territory.
He said: "We put some fantastic phase play together when you consider the weather and when Patch dropped a goal, which put us 15-12 up, we were well in control of the game at that stage.
"But there were lapses of concentration. With the young group that we have there were one or two little lapses that cost us.
"The effort, commitment and the control that we displayed for vast periods of the game was excellent."
Blues are next in action when they face Connacht Rugby at Cardiff Arms Park on Friday (September 13) and Davies called for a reaction from his men.
"I said to the team after, I can't fault the effort but we need to be angry," he added.
"We were in a game with a top four team that made the semi-finals last season. We pushed them really close and got a really good bonus point.
"There is a lot for us to build on and I am far, far happier than I was at last year at any time. It's only one game, but we have a great platform to build on."