I have never heard of using Neem Oil for rust either. Ok so I just googled it and it seems to be listed here and there as being used for rust but I don't know how old that info is.
Basically if your plant has rust and you choose to spray to control it you will need a systemic fungicide. If Neem oil is effective it is only as a contact fungicide which means it kills the visible spores ONLY. I'm sure someone will come along with a more advanced explanation but to keep it simple rust begins inside the plant long before you see it on the foliage and will lay in wait until the right environmental conditions appear. A systemic fungicide gets inside the plant and kills (hopefully) or at least suppresses the disease so it does not appear on the outside.
The only other way I have heard of ridding it (no guarantee) is to cut the foliage all the way to where the fan goes from green to white (rust lives in the green) and hope it doesn't come back. You have to make sure all the cut foliage and dead garden debris is properly disposed of (placed in plastic bag and tied up). This works for some and then others will spray heavily with a contact fungicide the cut daylilies and surrounding ground since the spores can hide anywhere.
Hope this helps
