Mayo,
It is personal preference, of course, but I would suggest keeping it. Personally, I like to know the pollen parent; call me a control freak if you want to, but I pollinate nearly *every* bloom in my garden and keep detailed records so that I can keep track of genetics. That said, though, I've received a few daylilies with seed pods on them or had some that were bee-pollinated in my own yard on the one or two days I couldn't make it out to pollinate, etc...and sometimes those are the most exciting and anticipated because it's a surprise, and I love surprises...
I think one of the biggest factors to consider is: do you have enough space? If you barely have enough space for your highly anticipated, purposeful crosses, then you may not want to devote space to such a wild card batch of seeds.
