The Black Cats posed little threat throughout but Coady, when asked upon, didn't put a foot wrong in a calm and composed display in yet another new role for the former midfielder this season.
Frustratingly, Nuno Espírito Santo's side could not extend their lead at the top to seven points as they drew a rare blank - and their advantage at the top could be reduced to two if Cardiff City beat Reading on Monday night.
Yet the goalless draw takes little away from Wolves' magnificent campaign so far and Coady - a right-back last season before evolving into a central sweeper in a three-man back line this term - says they will take plenty away from failing to find a breakthrough.
Coady "really enjoying" regular starting role
On his new role, the 24-year-old said: "I'm enjoying it and enjoying learning off the manager and his staff and the boys I'm playing with.
"It's something where at the minute I'm loving playing and being part of this team and this squad.
"Hopefully we can keep on winning football matches. That's all anyone wants to do. If we keep on doing that, it'll be a good season.
"It doesn't matter where I'm playing, I just want to play for this football club and help it as much as possible.
"It's something that I'm really enjoying, I'm learning each and every week off the manager. If I can keep on doing that, I keep on getting better and that's all I want.
"Now and again growing up [I've played at centre-back]. It's something that I've always stepped in and done but not on a regular basis.
"But like I said I'm enjoying it. It's a really great club to be a part of and when you're winning and everyone's with you, it's something else."
On the game itself, former England U20 captain Coady noted that Wolves should have troubled Sunderland's dogged defence more.
He explained: "They got bodies behind the ball. We weren't at our best, we moved the ball up and down the sides and I thought we could've took advantage of the chances we had in the first half a little bit more than what we did.
"But that was how it was, they got bodies behind the ball, they came to get what they wanted and they got it in the end."
On Nuno's half-time team talk, Coady revealed: "[He] just [spoke about] intensity, [told us to] step up the intensity, take the game to them and really put it on their toes really. I feel like we did that at times second half.
"It's something where it's always tough to do when they've got 10 men behind the ball. It's tough to do, we couldn't do it tonight and we move on pretty quickly.
"You're always disappointed not to win with the standards we've set but we want to get back to winning ways on Friday.
"We want to move forward and keep on learning on the training pitch this week and see where it takes us."
Wolves skipper admits they need to learn to break teams down
The success of Sunderland's defensive tactics will inevitably lead to more opponents utilising a similar approach on their trips to Molineux, where Wolves had not failed to score all season before Saturday.
And Coady believes that he and his team-mates must learn their lessons from failing to carve open the Black Cats in order to avoid similar setbacks in upcoming home fixtures.
"We've just been saying that in the changing room, the manager's been speaking to us about it [breaking down teams]," he said. "When teams come and do that we need to get better at doing that sort of thing if they're going to put bodies behind the ball like that.
"We've got players to do that. There's some fantastic players in this team and they know how to do things like that. We haven't done it tonight but we move forward.
"You've got to learn, you learn from every single game. That's what the boys have done really well this season, they've took things from every game and moved forward pretty quickly.
"We know that with every game we learn, we get back on the training pitch and go over it and do little bits and bobs and hope we get better."
Wolves face six league and cup matches over the next 28 days, their previous six matches having afforded them an extra eight days' rest, but Coady says a lack of depth is not likely to be an issue.
"No concern at all," he responded when asked whether Wolves' perceived poor squad strength could be problematic over a busy fixture schedule.
"We've got some fantastic players in this team. I've got no concern whatsoever. [Léo] Bonatini's a fantastic player but no matter what happens, the players who come in are going to do just as good a job.
"We've got goals coming from all over the pitch. Bonatini's chipped in but everyone has. That's something that if it does happen, we move forward pretty quickly."
"We know we're going to get kicked about"
Cattermole's red card was the third dismissal of an opposition player in Wolves' last four games with Millwall and Preston North End also having players sent off against the Black Country side earlier in the campaign.
On the rough treatment that Wolves' attacking players in particular have come up against this term, Coady acknowledged: "We know what we're up against every week.
"The one today was crazy to be honest with you but referees are doing something about it. Red card here, and red card on Monday.
"Jota's a fantastic player. We all know how good is. What makes him so good, he gets up and gets back on with it so he's dealing with it really well and the boys are on to the referees about it so as long as it keeps on getting cut out and things happen about it, it'll be okay.
"I do feel like it [the referee's treatment] has improved a little bit. We needed a little bit more [protection] at the start of the season but these players can play and these players are going to play.
"Players like Jota and Helder [Costa] and [Ivan] Cavaleiro, they get up and go again. They've been playing in the country long enough to know what they're gonna get. As long as they can keep on getting up and doing the business, we don't really mind."