Lilies would make attactive specimen plants in a conservatory, and many have a strong perfume, which will be more evident in a confined space. I like the idea.
Keeping lilies in a conservatory will definitely help to protect against lily beetle. The normal way in which lily beetles find your plants is by flying in from other people's garden. (Unless someone has lilies already infested with beetles, in which case they'll be flying out to infest other people's gardens).
Lily pollen can easily stain clothes, so you need to be careful you don't brush against them.
When you get around to repotting, they will look just like Spring bulbs. But they do need to be planted deep in the pots, nearer to the bottom, than to the top.