You did save Clem though. When you found her she was just a little girl. Lee helped her learn how to survive. He taught her to shoot a gun. He's the reason she killed her first walker and can survive in this world now. Those tips about the world now, the things you said to her has helped shape her and taught her valuable information she needs to survive.
She still needs other people to help her, which she's hopefully finding at the end of Season 1, but she isn't a helpless little girl now. Lee did that. You did that. That's the importance of Lee's role in Clementine's life. That's some happy you can take from it. Lee might be gone, but Clementine is alive and will carry forward what she's learned from Lee.