What a magnificant plant.
I live in zone 5 also, and yes you can plant lilies. I have a few planted not as beautiful and the last few years it been a struggle. A few years back some new imported beetle from Asia has been devouring our lilies. These little red beetles if left unattended will completely strip the entire stalk of leaves and buds and replace them with balls of black larvae.
Amid has named this new menace "The Poop Bug" I know Mass is having a terrible time with the bug. Some have even pulled up all their lilies trying to control this bug. I used a sevin dust on mine and it seems to control them a little but it's needs to be dusted on a regular basis, these plants don't seem to have the vigor they once had. I don't know whether or not this new bug has moved on to other states. Like all the other bug that have come from foreign countries this bug is advancing across the state and devouring lilies in it's path.
I would check if this beetle has moved into your area yet. I can tell you if it has, unless you are willing to spray and pick these bugs off on a daily basis I wouldn't plant them.