I'm in Zone 9, and my whole yard gets pretty much shade plus it's getting cool (50*-60*) in the evenings, yet my lilies still look fine - blooming, even.
I think some of it has to do with fertilizing. I got my lilies from someone who had been fertilizing a lot, and I tried to keep up with that (every 3-4 weeks), so possibly that's why they're still wanting to put out pads and flowers.