They were beaten by their Italian counterparts Greta Cicolari and Marta Menegatti 2-0 in front of another capacity and partisan crowd at Horse Guards Parade.
And while she again enjoyed the experience of another great atmosphere, Dampney says defeat is no shame and expects to regroup against Russia.
"We are going to go home and regroup and come back stronger on Thursday," said the 26-year-old.
"We had a great win over Canada on Sunday and we still really enjoyed the experience today.
"It's an amazing feeling just to step onto the court here. It's so amazing that it's the best feeling in the world.
"We had a good strong first set and we needed to do that in the second as well. I guess that we need to be a little more consistent.
"But also we have played the Italians about four times and they are really a strong team - they are European champions."
The British pair lost in straight sets in just 40 minutes – losing the first by only three points at 21-18 before Cicolari and Menegatti claimed the second set 21-12.
South African-born Mullins echoed her partner's thoughts, but believes that while there are positives to take, the two still need to work on basics.
She said: "We will look at our timing, technique and finishing.
"There's a lot to take from the game and we will be ready for our next game."