I have grown lots of them, even up here in Canada. Except I have to overwinter them inside during winter

No problem at all that the flower withered away There must be other leaves though. Or not?
If there are leaves the plant is healthy and will perhaps now be making larger bulb or corm I forget which they are called and even little small ones
You though can just leave the plant in the ground all year.

So question should I cut the stem off where the flower grew or just let it be?

Let it be if you want it to set seed. Either cut it or pull it out by hand if not. What variety did you grow?