Canada lost for the second time in as many games under Dineen, 3-2 to the United States, Monday night in front of an announced crowd of 17,227 at the Air Canada Centre.
Dineen took over as Canada's head coach on Dec. 17 after Dan Church resigned.
"I think we've been building on things, working on things and there's parts of our game that have come a long ways and parts that still need work," said Wickenheiser. "Coming in and taking over a team that's been going all year, it's not easy.
"We're getting more comfortable with how it's going to go."
Kelli Stack had a goal and two assists as the Americans won their fourth straight in the six game exhibition series against the Canadians.
It was the final match-up between the two women's hockey powers ahead of the 2014 Olympics in Sochi, Russia.
"I thought our goalie was good, she gave us a chance to win the game and unfortunately, I think as a group, we were not complete enough to get the overall win," said Dineen.
Stack, Hilary Knight and Megan Bozek all scored as the Americans opened up a 3-0 lead in the second period.
Natalie Spooner got Canada on the board with 34 seconds left in the middle period.
Canada's Brianne Jenner cut the U.S. lead to 3-2 with a short-handed goal at 1:57 of the third.
Despite out-shooting the Americans 9-5 in the third period, Canada could not find the equalizer.
"We've got some weapons and we used our tools in the second," said American head coach Katey Stone. "We weathered the storm and you found a way to win. Every one of these games has been different which has been really great and I like where our team is right now, but we've got to get a lot better."
Canadian starter Genevieve Lacasse made 27 saves in the loss while Molly Schaus stopped 25 shots for the U.S.
The Americans opened the scoring 2:32 into the second as Knight re-directed a Stack feed between the pads of Lacasse.
With Jenner off for hooking, Alex Carpenter found Stack all alone in the slot; Stack beat Lacasse giving the Americans a 2-0 lead.
The U.S. appeared to take a 3-0 lead at 16:05 of the second period when Knight knocked a loose puck out of mid-air past Lacasse; however, video review showed Knight knocked the puck down with a high stick and the goal was disallowed.
Less than a minute later, the U.S. made it 3-0.
With Wickenheiser off for holding, Megan Bozek's point shot beat a screened Lacasse from the point.
"They got a couple power-play goals, we were a little bit undisciplined with a couple of the penalties," said Wickenheiser. "A couple of the calls, I'm not sure about either. It's always that way in the game, we have to be ready to play both ways."
Canada got on the board at 19:26 as Spooner beat Schaus on a partial break.
Jenner got Canada to within one, putting home her own rebound after initially hitting the post.
Canadian defenceman Tara Watchorn, who didn't play in Saturday's loss because of an unspecified injury, returned to action and was paired with Catherine Ward.
Canada won the first two games of the six-game series, but lost the final four meetings with the Americans.
On Jan. 21, the Canadians will head overseas to Austria for 10 days to play in exhibition games before finally going to Sochi for the Olympics.