The 22-year-old's introduction after 53 minutes proved a major catalyst in the Blues' 3-0 win at St Mary's, setting up Fernando Torres and Willian before scoring himself.
However, much of the post-match focus has fallen upon Oscar's attempt to win a penalty rather than his fine overall display.
With the match poised at 0-0, referee Martin Atkinson booked him for simulation after going down in the box following the slightest of touches from veteran Davis.
Chelsea manager Jose Mourinho admitted Oscar deserved the caution and the man he tried to setup was pleased to see the appropriate action taken.
"I was happy that he spotted that as I have seen them given," Davis said.
"I don't like that because I could have ended up getting sent off on the back of it.
"For the referee to spot that is good. I am not concerned about him getting booked, just avoiding the way the incident could have gone."
Rather than anger, though, Davis' main emotion was confusion at Oscar's decision to dive instead of almost certainly scoring.
"He didn't need to do it," the Southampton club captain said.
"If he went around me, he would have popped it in the net. I think it is probably a habit of his that he felt he had the opportunity to win a penalty and, for me, he probably looked too hard for it and that is why the decision went against him."
The choice to take a tumble did not ultimately harm Chelsea, who extended Southampton's poor recent form in the process.
Mauricio Pochettino's side have won just one of their past nine and now face a month in which the vultures are circling over St Mary's.
Rickie Lambert, Luke Shaw and Adam Lallana have all been regularly linked with a move away, although Davis expects them to stay.
The 37-year-old has seen the likes of Gareth Bale, Theo Walcott and Alex Oxlade-Chamberlain leave during his time on the south coast, but believes Saints are no longer a selling club.
"We have a passionate chairman who is very keen on keeping everyone at this club," Davis said.
"He rewards the players very early on in their careers and I think the players respect that and that is why when the opportunities come along they hold off until the right time, if at all.
"I have been in the situation at many clubs. Since the Liebherr family and Nicola Cortese took over, the mentality of the club has changed.
"If the player wants to leave, the club make the decision if they can or not. When they want to bring a player in the resources are there to do that."