Perhaps I am missing something about the colder climates, but it was my understanding that lilies perferred growing from a greater depth than a shelf and were also likely to produce more flowers.

I'm assuming you're talking about hardy lilies? They like being 2 and 1/2 -3' under water and make more blossoms at that depth.
Also, Don't forget to thin them every 1-2 years. And they are very hardy, so I wouldn't worry about them and frost.