The club's complaint about Clattenburg's alleged remarks during the Premier League defeat by Everton on December 29 was thrown out by the Football Association and the referees' governing body Professional Game Match Officials Limited (PGMOL). The official was accused of telling Lallana: "You are very different now, since you've played for England - you never used to be like this."
Despite the club rather than the player raising the matter, Lallana has been widely ridiculed, something that initially upset the attacking midfielder.
However, club captain Davis has been impressed by his response, highlighting his decisive strike in last weekend's 4-3 FA Cup defeat of Burnley as a sign of his resilience.
"I think for the first day he was a bit like 'why is everyone coming for me?'," he said.
"He made a remark after the game, conversations happen and the end result was the end result.
"But anyone that knows Adam knows that first of all he is a good pro, a good lad, a good person. I think after the first day or two he realised that himself, that he hadn't done anything wrong, he shouldn't be feeling anything negative about himself and then he banged a goal in against Burnley. That kind of epitomises where he is mentally."
Davis captained the side at Goodison Park and hopes everyone can "move on" from the Clattenburg debate, allowing team-mate Lallana's talent to be focused upon.
A place in England's World Cup squad is looking increasingly likely for the Saints academy graduate as his rise from League One to be one of the country's best continues apace.
"As he gets older, he has got that bit of belief that what he was doing in the Championship he can step up and do at a higher level," Davis, in goal when Lallana made his Saints debut against Yeovil in August 2006, said.
"I think as well when he first had the Southampton armband, you could see it kind of held him back a little bit. But now the way he has matured, he doesn't find that a weight now. Again, that comes down to belief.
"The manager coming in at the time he did and working closely with him has helped.
"The way he has been treated from the very top of the club with his new contract has helped the way he has developed, with the England call-up probably that final turning point in his head.
"He has a real opportunity to really become a very good player at this level, so he is obviously great to have around the place."
Lallana will no doubt be key on Saturday if the Saints are to overcome West Brom when they return to league action.
Mauricio Pochettino's side have won just one of their last nine league matches, but veteran goalkeeper Davis is confident they can now kick on.
"We've looked at certain things ourselves this week, maybe what made the difference in our performances and maybe the difference in us picking up results," he said.
"We've played well and not picked up points in that period. We've evaluated what we have done in the first half of the season and it is how can we recreate that for the second half of the season.
"We have got some fixtures, in terms of the Christmas period, out the way and there is time between games to prepare.
"We are in a position in the league where we are still looking up, so it is about those little tweaks and it is about individuals and as a team putting little things right which decide whether you win games or lose them."