It depends on what kind of shape they're in.
There is a school of thought which holds that a daylily will shed all of its existing roots soon after shipping and replanting. I've not found this to be true, however there's no point in planting a bunch of obviously dead roots either.
If they've been grown in a highly amended soil, especially if frequently divided and pushed hard in a fast-turnaround nursery, daylilies will tend to have a high proportion of fibrous roots. When shipped in a dry condition, these are the first to whither.
I'll comb through the root mass with my fingers and pull off anything that's limp and obviously dead. If the plant hasn't dried too long, or was shipped slightly moist, a lot of the fibrous roots will be in pretty good shape.
Sometimes the ends of the tuberous roots will have shrunk to the point where they won't recover, and I'll trim those, but in general, I try to leave as many of them as possible, because a network of new, fine, "feeder" roots will quickly grow from them.