McGregor, the former Rangers No.1, passed the ball directly to Hans Vanaken after 58 minutes, with the midfielder duly rounding the 32-year-old and scoring to give the Belgian side the advantage ahead of a trip to the KC Stadium next week.
James Chester came close to levelling the score when he met a cross from Sone Aluko with a free header after 89 minutes, only to miss the target. Yannick Sagbo and David Meyler also failed to score.
The Barclays Premier League side had been off-target earlier with their pursuit of Scotland striker Jordan Rhodes. Blackburn Rovers rejected an offer for their forward before Hull kicked off in Belgium.