Davies prefers the ball in behind the defense for him to run onto.
When this doesn't happen enough of the time he tends to drift into wide positions to try and pick up the ball in more space - this is a big problem and you'll have noticed Shez / Tommy Wright in a couple of interviews last season talking about coaching him to stay in the centre where he's a threat on their goal.
On Saturday because Davies couldn't get the positional side of his play right, he and O'Grady found themselves too far apart. O'Grady constantly picked up the ball and had no one to link up with and therefore had to play it backwards.
In reply to your post - yes he's definately one of our most frustrating players as he has an lot of skill in parts of his game and is extremely naive in others.