Thanks guys,
I think I'll carry on as I have been and just removing dead leaves and brown scapes. I'd rather have an untidy garden than lose a plant!
@sooby,
Here are the ones that in my garden which are listed as dormant.
Novelty Number
Frans Hals
Lake Effect
Patchwork Puzzle
Baby Blues
Aquamarine
Hope that helps. I grow all my daylilies in large containers so maybe that's why they don't die back?