I used to do this in my earliest almost pre- years of my 'lily life'--in the early 1980's or even earlier. I had become friends with the owners of two flower shops in town. I had it good; I could get pollen from some really nice ones back then and it was where I first learned I could freeze pollen. Unfortunately, it never worked for me because I had not yet learned that Asiatics and Trumpets don't cross and I was pretty much illiterate with the 'do's and don'ts' of pollination at the time.
Nowadays, however, the cut lilies in floral shops are specifically breed for greenhouse culture, without any regard for garden culture. Long term hardiness is not a concern whatsoever, because the bulbs of cut flowers are disposed of immediately after cutting so a new crop can be started. I'm afraid that if one were to use such pollen today, one would be breeding in more of a greenhouse type plant that might not fare well when grown in the ground outdoors.
Nevertheless, collecting pollen from flower shops can still be fun, and certainly worth a try. Just try and get pollen from a newly opened or partially opened bud for purity. I wish I did, but I just don't have the time to do that anymore.