The former Barcelona midfielder took over from Brendan Rodgers in June, following the Northern Irishman's departure to Liverpool.
And Williams says that the Dane's illustrious playing career and work in early training sessions have seen him earn the respect of the dressing room.
"The first impressions of the new manager have been good," he told the South Wales Evening Post.
"He's a legend in world football - you only have to look at his Wikipedia page to see that!
"He's addressed the lads and he's obviously got our respect straightaway. Training was good and everybody's enjoyed it.
"He's said a few words and he obviously knows what he's talking about so early impressions are good.”
Despite his delight with Laudrup's appointment, the 27-year-old centre-back went on to admit that the Welsh side's players were sorely disappointed by Rodgers' exit.
He added: "The past two years were so enjoyable. I'm sure everyone has their opinions of Brendan Rodgers but ask anyone here and they will tell you how much they enjoyed working with him, and they are two of my favourite years in my career so it's obviously tough that he's gone.
"But that's life and that's football and you have to get on with it. Appointing someone like Michael Laudrup got our respect straightaway and we're happy to listen to him."