The on-loan midfielder found the net twice as the holders pulverised the Owls to book their place in the fourth round of the competition.
"Frank is a very important player for every team. He's very happy here," Pellegrini told Sky Sports News. "He's doing his job, he's scoring. I think that he's an important player for us."
However, the Chilean was evasive when asked whether Lampard is likely to extend his loan spell beyond its January expiration date.
"We'll see what happens in the future but the important thing now is to think about what we must do against Hull on Saturday," he added.
City will play host to Newcastle United in the next round.