The 40-year-old may have conceded three times in the defeat but if it wasn't for his heroics the score would have been more emphatic than 3-0 for the Italians.
McGregor was summoned from his position as Ibrox No.2 due to an injury to current No.1 Jon McLaughlin.
Having saved two penalties from Piotr Zielinski and made other crucial stops it is difficult to see how Giovanni van Bronckhorst can drop him for the upcoming league fixture with Dundee United.
“At the first two penalties he was excellent and before that he had already had some saves,” the Dutchman said.
"We know how Allan will play. Of course it is a disappointment for him not to start the season, but I have told him to be ready when we need him. He is ready to play as he showed.”
McGregor earned praise in the Italian media, while team-mates were happy to see a key figure within the squad perform once again on a big stage.
“I am delighted for him,” midfielder Ryan Jack said. “He has been number two so far this season and Jon has been in the team. Jon picked up an injury, which is unfortunate for him, but you could see what Allan can bring.
"He is a big game player and I have seen it on many occasions in my time playing with him. Nights like these are what he thrives on and you saw it again on Wednesday night.”