The way Al Nassr lost, was a humiliating one after spending that much on players. They were clearly the better team, and yet they still failed to win. That is the problem they have, even when they are the better team, they lose, and they can't afford to do that much. Ronaldo lost the chance to get one more cup, and it is really not looking good, been years since he got one, they got one on his first year and nothing after that.
Al Nassr problem is their back line is too fragile, just imagine after Al Nassr scored a goal then Al Ahli was able to counter the attack after that, this shows how bad Al Nassr back line is even though Al Ahli didn't make many shots and only 2 were on target but they could convert them all into goals so it's useless if Al Nassr has good quality in the front line if they don't improve their defense then it will be difficult to fight for the title.
Al Nassr coach is too focused on improving their front line that he hasn't thought about recruiting quality defenders to improve their performance in all areas.
Al Nassr defense looked like a nightmare for the team. We could see this during the match. In the first half, Al Nassr took the lead through a goal scored by Cristiano Ronaldo in the 41st minute from a penalty kick. Then in injury time in the first half, Franck Kessie managed to equalize the score. In the second half, Al Nassr regained the lead through a goal scored by Marcelo Brozovic. However, Al Ahli managed to penetrate Al Nassr defense line and equalized the score again. In the end, Al Nassr suffered a defeat and failed to win the championship because they failed in the penalty shootout. So I think you're right about Al Nassr's poor defense, which should have been reliable when Al Nassr took the lead several times. If that had happened, Al Nassr might have won the championship. However this should be a bitter lesson that the team must learn. Jorge Jesus should have realized this, so he can improve Al Nassr defensive weaknesses.
I will say that Al Nasr was not just lucky and lack of concentration made them to allow the opposing team back into the game because from the start of the game Al Nasr was really in control of the game and even scoring but a slit lack of concentration made the game to go the way it turned out to be