Yes Madrid dominated match but they could not create good goal chances. Without penalty they would face even more frustrating goalless draw as you said. This demonstrates typical difficulty at best teams to crack defensive opponent. You are also correct that single game does not give whole picture and therefore because of that true test for Real Madrid will be to determine whether or not they will be able to exhibit greater ability to create scoring opportunities in their future matches to convert their domination into goals.
Although, the result of that game did not turn out as we mostly expected but it wasn't that bad to mount heavy criticism on Real Madrid. If you looked at the stats of that match, Real Madrid had about five shots on target which wasn't a bad attempt but the defence proved to be too solid that couldn't be easily penetrated. With about seven off target shots and seventy percent possessions, Real Madrid absolutely dominated the game by far but were just unlucky for not getting multiple goals as expected. Alonso should realise his mistakes and make corrections to his squad since it's evident that some pairs don't normally produce positive results.
In the first match this is normal especially with Real Madrid under a new coach. Of course it takes time to develop creativity to create more chances and score more goals. In the match against Osasuna, Real Madrid's play was quite solid, and their defense has certainly improved. However I saw that Real Madrid needed composure to control the rhythm of the game.
Perhaps it's because of the new coach with a new strategy and several new players that's affected their composure. I hope they'll play more calmly in the coming matches so they can score more goals, especially against opponents who employ a defensive strategy. Real Madrid will certainly need better creativity to penetrate a tight defense. But overall Real Madrid's play so far has been very different from Ancelotti's, who relied solely on Vini on the wings.