Maguire bear-hugged the Chelsea right-back in the 40th minute as the two jumped for a cross which the former Leicester man ultimately won. Chelsea called for a penalty, but neither the referee nor VAR decided to award a spot kick.
After the game, Lampard said he didn't know why VAR wasn't consulted.
"Yeah, holding is allowed, but headlocks don't go on," he told BBC Match of the Day. "I don't know why VAR didn't take long and there's also a monitor to look at. I think if the referee goes to the monitor he gives a penalty.
"Lets see [how the season goes]. [The unpredictable start is] certainly an affect of teams that went into Europe [at the end of last season]. The lads got hardly any time off and we added new players. I don't like to make excuses, but it's true."
Azpilicueta agreed that the play should have been reviewed.
"I felt arms around my neck and shoulders. The referee can make the decision, the VAR is there [to help]. In any situation the referee takes the main decisions and the monitor is there for him to help. It was 50-50 so why not take 20 seconds to review it?" he said.