Yet the Stirling professional is confident those near-misses will prove to be invaluable experiences in the final round of the Aberdeen Asset Management Scottish Open today.
Lee yesterday produced one of the rounds of the tournament - a five-under-par 66 that contained five birdies and not a single bogey - to move into contention. That superb effort left him on six under par in a tie for fifth place alongside Ricardo Gonzalez, four strokes adrift of joint leaders Marc Warren and Justin Rose. He will face stiff competition for the £500,000 first prize at Royal Aberdeen this afternoon and has some ground to make up to catch the joint leaders. Still, the 37-year-old journeyman certainly knows what to expect in the closing stages of the £3 million European Tour event having been in similar situations previously.
In the Spanish Open in May last year he was just two shots behind Warren after 54 holes and was sent out in the final pairing with his compatriot. He failed, though, to capitalise on his strong standing at the Parador de El Saler course outside Valencia. A disappointing 78 saw him end up in 21st place. He then led by two shots going into the final round of the European Masters in Switzerland last September and successfully handled the pressure to maintain his challenge.
Agonisingly, a 15-foot birdie putt for outright victory at the final hole lipped out and he ended up losing at the first play-off hole to Thomas Bjorn.
And in the Abu Dhabi HSBC Championship in the United Arab Emirates in January he was also two strokes out in front with 18 holes remaining. Playing in the last group alongside Phil Mickelson, he slumped to a five-over-par 77 to finish in a tie for 10th place some seven shots behind victor Pablo Larrazabal.
However, the former Tartan Tour player is confident he has learned as a result of those bitter disappointments and is capable of challenging for the flagship title.
"I have been in contention a few times and maybe not capitalised on that and fell away," he admitted. "There is no question that Sunday is different. Although you still have 18 holes to play, one golf ball to play it with and the golf course is the same, it is definitely different.
"Everybody responds differently to pressure and it takes a bit of getting used to. But the more you are in it, the more you know how your body is going to react. I have been in that position a few times now so hopefully I have got it sussed. You can't control what anyone else does. Whoever else is up there you just have to let them get on with it. I can only control my own game, one shot at a time. I will try to stay in the present tomorrow and hopefully that will stand me in good stead.
"Switzerland was the best experience that I've had. To be in that position and go out and play the way I did gave me a lot of confidence. I really played well on the Sunday. I'll take that into tomorrow. There are a lot of good players in the field this week so it's nice to be in amongst them. I'll go with what I have got and I'll draw on the experiences I have had. If there is going to be a Scottish winner I would prefer it to be me obviously."
Lee will certainly be assured of emphatic backing from the large galleries which have thronged the fairways at the punishing Balgownie links these last few days.
The former Scottish Boys Strokeplay Championship winner is optimistic that will increase his prospects of becoming the first home winner since Colin Montgomerie prevailed at Loch Lomond in 1999.
"There has been a lot of support from the locals here and a lot of my friends have come up from Stirling to watch me player as well," he said. "That does make a big difference."
Lee certainly has a great deal to play for: he has not qualified for The Open at Royal Liverpool this week and a top-10 finish today could secure him a spot in the field for his first Major.
It is asking a lot of his fellow Scots Stephen Gallacher, Scott Jamieson and Russell Knox, who are bunched together on two under par, to land this title from eight shots back.
Meanwhile, David Drysdale (one under), Alastair Forsyth and Martin Laird (both level), Greig Hutcheon (one over) Paul Lawrie (two over), Scott Henry (three over) will simply be looking for strong finishes and a good pay-day.
But some of the world's top players have, at times in the last few days, been made to look foolish on this course as strong winds have made conditions treacherous. Anything could, and most probably will, happen.