Davies came off the bench against Millwall and earned his side an equaliser. They then went on to win the replay. Davies came off the bench there as well, but looked a lot less effective. To be fair, his role was somewhat different, but Davies recent appearances have been nothing to get too excited about.
I suspect that Davies didn't move clubs during the window for four reasons
1) He's on an excellent wage with Saints and any future deal would be for a lot less.
2) The unnamed side will soon no longer be in the Premiership.
3) He's settled at the club after an iffy start and doesn't want to move on.
4) There's always the slight chance he'll earn a new contract.
The truth is probably a combination of all of the above and probably in that order of importance too. There's no doubt that Davies isn't worth a fraction of what he used to be.
His contribution to the side since his return from Blackburn does not warrant a new deal. While he does show good awareness and does get into good positions, it could well be too little to late. We have Beattie, Pahars, Ormerod, Delgado and Tessem already fighting for places. Next year will see the return of both El Eyene and McDonald into the squad. So there's certainly no shortage of firepower.
With Fernandes on the right wing, Davies wouldn't be worth a place there either, and is better suited further forward.
Personally, I'd like to see him stay another year, as It's clear Saints have had use for him this season. Whether or not Davies would be prepared to take a short term deal with a probable wage cut is an entirely different matter.