Answer: I think what you are seeing is seed pods. Most gardeners will deadhead orbreak off the spent blooms promptly, taking the little stem and thus the base of the flower along with the petals, this removes the seed pods before the seeds develop. This helps preserve the bulb's strength for blooms next year. (Lilies only bloom once each year.)
Some gardeners leave the old main stem and foliage throughout the winter and remove it gently in the spring, others remove it in the fall after a hard freeze has killed it back.
In late fall cover the bulb with 4 to 6 inches of a loose mulch such as chopped leaves or shredded bark and leave it in place until hard freezes are over in the spring. If the shoots start to grow up through it in the spring, pull the mulch aside but keep it close by so you can recover the shoots if a freeze threatens. After the first year you should not need to mulch the bulbs so carefully especially if you have reliable snow cover.
Having said all that, perhaps the most important factor in winter survival is drainage: these bulbs will rot unless the drainage is just about perfect. And last but not least, lilies are borderline hardy in zone 4, so microclimate may also be important for yours. Keep this in mind if yours fails to come through -- though with a little luck they'll come back for you just fine.
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