Dilo signed for the Buddies in the summer after his three-year spell with Rovers ended amid a managerial farce.
Steve Kean, Eric Black, Henning Berg and Michael Appleton were each given no more than 15 games in charge by controversial Ewood owners Venky's last season before Gary Bowyer got the job on a permanent basis after two spells as caretaker boss.
But 19-year-old Dilo's move north has coincided with Saints' own miserable start to the season and Lennon now faces mounting pressure having failed to lead his team to a single victory from seven attempts.
The Frenchman, though, has had enough of the uncertainty that comes with changes in management and has thrown his support behind his under-fire boss.
Dilo told Press Association Sport: "Blackburn was a good place to learn my trade. When I first moved there they were still in the Premier League and were playing against big sides like Chelsea, Manchester United and Liverpool, so it was a really good experience being there and seeing how all these teams prepared.
"I also got the chance to train with the first-team a couple of times, which was great for a young keeper.
"But then we went down and it became a harder place to be around.
"They went through a lot of managers. The players all tried to get on with things and not think about it too much. But it still affects you having so many managers in a single year. It was not nice.
"So it is not good to see Danny going though a bad experience here at St Mirren. He is the one who brought me to St Mirren and who is trusting me right now. He is a really good manager so I hope the players can get a result for him and turn things around."
On-loan Swansea stopper David Cornell started the season in goal for Saints but after conceding 10 goals in just five Scottish Premiership starts, he was dropped for last week's 2-0 defeat to Hibernian at Easter Road.
Dilo recovered from James Collins' early goal for the Leith side to put in a decent display - one of the few St Mirren players who could claim to have done so - and now hopes to retain his place for Monday's visit of Aberdeen to Paisley.
"It's not the easiest situation to be coming into a team with the results the way they are," he conceded. "But I just have to get on with it and show what I can do.
"I had a pretty nervy start against Hibs but after that I grew in confidence and it became easier and easier to make saves. Hopefully it will be even easier in the next game against Aberdeen.
"Hopefully I can keep my place in the team. I have worked hard in training to show the manager I can do a good job."
Former Buddie Paul Dummett has returned to parent club Newcastle to make his Barclays Premier League debut after a successful loan spell last year, while striker Esmeal Goncalves is now performing in the Europa League group stages with Apoel Nicosia after helping Saints lift the Scottish League Cup during a six-month stint with Lennon's squad.
Now Dilo has targeted similar opportunities for the future, saying: "Scotland is a good league to showcase yourself to bigger clubs and hopefully I can prove myself capable of making that next step."