Nope. Not welcoming the endorsement would make it a bigger issue and cause a wedge with his base. There's a difference between your average anti-Trump Greenwich voter and a pro-Trump supporter from Watertown. Both places exist within the same state.
He's still very unpopular in the state. Malloy may be even more so, but Lamont at least is distancing himself from Malloy and is using his last gubernatorial campaign to contrast. Republicans won't win a statewide race in the Northeast by tying themselves to Trump.