Daylilies have what is called "ovarian self-incompatibility" or "late-acting self-incompatibility". When a cross is incompatible they will set pods and those pods will develop for several weeks and then they are usually aborted. Most self-incompatibility systems in other species prevent the pollen from being successful and so pods are not set when flowers are self-pollinated.
Self-incompatibility systems are also in play when daylilies are cross-pollinated if the two parents just happen to carry the necessary incompatibility factors to prevent successful pollinations.
