Yes cut it off when the flowers finish, they are a drain on the plant. If you want to save seed, then keep a couple of seed heads, remove the rest.
Cannas are one of those plants that are not true lilies that belong to the genus Lilium. Their structure is completely different from true lilies but we all know what you mean. A few other "non-lilies" include daylilies, Peruvian lilies, Lily of the Valley and so forth. "Lily" is a common name for many plants!
