Scotland led 14-7 at half-time, but it should have been more given the territory and possession they had.
They were then up 19-7 after 42 minutes, but Wales started making changes and their fresh legs from the bench made the difference in the last 38 minutes against a Scotland squad whose build-up to the game was heavily disrupted by Covid issues.
“I am proud of parts of the performance, but we had opportunities that we didn’t take and as a squad we know that is not good enough,” Malcolm said after her charges took just a losing bonus point from the 24-19 reverse .
“We had the pressure, we had the opportunities and we needed to make more of them.
“Wales really made the most of their opportunities, every time they got one they scored.
“We had a tough talk with ourselves as a group after the game and it is not a place we want to be again, this feeling is not nice.”
Scotland, who had to make two late changes to the bench, got off to the perfect start when a well-worked driving lineout saw hooker Lana Skeldon go over for a try on her 50th cap. Stand-off Helen Nelson converted.
They then had a lot of territory and possession, but by the 20th minute no more points had been added and it was Wales who were next to score.
Hooker Carys Phillips was credited with the try with Keira Bevan, the scrum-half, converting and it was 7-7.
Scotland did not panic and in the 32nd minute the whole team played their part as try number two came.
They went through 24 phases before a neat kick into the Welsh dead ball area by scrum-half Jenny Maxwell.
It bounced up wickedly and Scotland winger Rhona Lloyd scored. Nelson converted and it was 14-7.
Scotland then wasted an overlap five minutes before the break before Wales center Kerin Lake was yellow carded.
The visitors wanted to get off to a quick start in the second period and they did just that.
Lloyd scored her second try – her 18th for her country – out wide in the 42nd minute and although it was not converted they were 12 points up.
Wales brought on replacement forward Sioned Harries – later named player of the match – to give them some momentum and she did, scoring a try in the 48th minute.
That gave Wales a real boost and in the 62nd minute visiting loosehead prop Leah Bartlett was yellow carded after scrum pressure.
Wales replacement hooker Kelsey Jones then went over for a try to make it 19-19. Stand-off Elinor Snowsill missed the conversion.
Scotland survived when they were shorthanded, but then sub scrum-half Ffion Lewis found space and scored the hosts’ bonus point fourth try. It was not converted, but they led 24-19 with four minutes to go.
With two minutes to go Wales skipper Siwan Lillicrap gave away a deliberate knock on penalty near her own try line which, on another day, might have been a yellow card.
Scotland went through multiple phases at the death, but a knock on by No.8 Jade Konkel just short of the Welsh try line saw the hosts turnover and put the ball dead.
Wales: Kayleigh Powell; Lisa Neumann, Hannah Jones, Kerin Lake, Jasmine Joyce; Elinor Snowsill, Keira Bevan; Gwenllian Pyrs, Carys Phillips, Cerys Hale, Natalia John, Gwen Crabb, Alisha Butchers, Alex Callender, Siwan Lillicrap (C). Subs: Kelsey Jones, Cara Hope, Donna Rose, Sioned Harris, Beth Lewis, Ffion Lewis, Robyn Wilkins, Sisilia Tuipulotu.
Scotland: Shona Campbell; Rhona Lloyd, Emma Orr, Lisa Thomson, Megan Gaffney; Helen Nelson, Jenny Maxwell; Leah Bartlett, Lana Skeldon, Christine Belisle, Emma Wassell, Sarah Bonar, Rachel Malcolm (C), Evie Gallagher, Jade Konkel. Subs: Jodie Rettie, Panashe Mazumbe, Anne Young, Lyndsay O’Donnell, Louise McMillan, Caity Mattinson, Meryl Smith, Hannah Smith.
Wales: Tries: Phillips, Harries, K Jones, F Lewis. Cons: Bevan (2).
Scotland: Tries: Skeldon, Lloyd (2). Cons: Nelson (2).
Yellow cards: Lake (Wales), Bartlett (Scotland).
Referee: Joy Neville (Ireland).
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