Peter Shalulile broke the deadlock for Sundowns in the first stanza but his strike was cancelled out by Junior Dion late in regulation time.
Gallants were reduced to ten men in the last ten minutes of extra-time after Ndabayithethwa Ndlondlo got a second yellow card and that proved decisive, as Thapelo Morena netted the winner in the dying minutes.
"Very difficult game but I think also very entertaining. This is probably what people want to watch when they see a final. When people say there's a final, then this is exactly what people want to watch," Malesela told SuperSport TV.
"We knew it was going to be very tough and very tactical. We warned the players to say any team that will make a lot mistakes or any mistakes for that matter may lose and we did it at the end you know.
"Several mistakes before that, they also made mistakes you know, because we're all pressing high trying to put high pressure on the ball. They survived, we didn't, right at the end of it you know.
"It's more painful because it happens right at the end but you know it's a game of football and all credit to the boys for entertaining, that's number one.
"But also for showing character coming to this match. I think people realise we didn't come this far by default, we deserve to be here.
"That's what we're trying to instil to the players because this thing of fear I'm trying to remove it because it's a common thing in South Africa, players are scared of the ball.
"And we want to remove this thing to say players must feel free and entertain but the biggest thing is that if you take the boy out of the player, too much of the boy out of the player, then you're taking the football out of him.
"What I mean is if he's not going to play, as in to enjoy himself then that football will be gone. If you gonna be strict and say pass, pass, pass, let's play straight forward and all of that then the South African footballer won't enjoy football."