It's the style of defending Lambert wants us to play, he wants the back 4 to press high up the pitch and try to keep the ball in the attacking half. When we are attacking our back line pushes high up the pitch, and instead of playing it safe by standing off players, Lambert asks the back 4 to play tight to their man and try to win interceptions first and foremost.
The problem is our back 4 if they miss their interceptions, end up getting burned for pace, because none of them are particularly fast, so that's a problem. This was how we conceded the 3rd goal against Man U. It was 2 v 4, Giggs and Rvp against our entire back 4, but both Lowton and Vlaar committed to trying to intercept the ball from Giggs, and he just got past both of them.
If Lambert wants to play the Arsenal style high pressing backline he's got to get faster and better defenders.