A good question. I am sure plenty of others here can help too though! Generally wild collected species seed will be true to type. Tacsonia like P. mollissima however can hybridize in the wild so depending where they are grown might be hybridized. With regard to the others it it just pot luck really. If your supplier has a number of species grown in a greenhouse and you have a ready pollen donor like P. caerulea flowering at the same time the species seed may well be hybridized. A further complication is that some species can self pollinate and others can't. I suggest you do not worry to much and just wait and see what comes up. If the seed is hybridized the offspring will be quite distinct from what you would expect from the species.

Here is a link that might be useful: Pollination

Hopefully your seed supplier can tell you if the seeds they sent were from flowers that were hand pollinated, or if the pollination was controlled in other ways, like bagging the flowers, etc. If so, then the seeds should come true. If the flowers were open pollinated, they could be hybrids. This is not neccessarily bad, as many hybrids are as good or better than the parents. To tell if you have a hybrid, you can compare your plants leaves and flowers to pics that are in books or on the web. This is not fool proof as I have very different looking flowers called the same species (for example, P. cincinnata). In general though, the probability of successful hybrid pollination is probably a lot lower than same species pollination, so you are most likely to have true seeds. If not, you might just end up with something better.

Check out these various pics of P cincinnata. This first link is the one on Mauro Peixoto's Brazil Plants website. It has relatively straight filaments, but most books comment on how contorted the filaments are in P. cincinnata. I'm getting some more seeds from Mauro, and I hope I get one like this.

Here is a link that might be useful: Mauro Peixoto's P. cincinnata

Here is a more typical P. cincinnata from Maurizio Vecchia's website. This one is from the Brazilian state of Bahia. Note the contorted filaments.

Here is a link that might be useful: Maurizio Vecchia's P. cincinnata (Bahia)

Here is the "Dark Pollen" clone of cincinnata that is available in Europe. In the last ten years it was used to make a number of hybrids that are new "versions" of the Incense hybrid. This one is from Henk Wouters' website.

Here is a link that might be useful: {{gwi:1127558}}

Here is a relatively plain looking cincinnata, also from Maurizio Vecchia's website.

Here is a link that might be useful: Maurizio's plain cincinnata

I forgot to mention about hybrids. Most hybrids do not produce viable pollen, but can be pollen accepters. For example, P. Incense makes pollen, but it won't pollenate anything. It can accept pollen from several species to form more complex hybrids. The hybrid "Indigo Dreams" has Incense as the mother plant, and P. caerulea as the pollen donor. "Blue Eyed Susan" has Incense as the mother plant, and edulis as the pollen donor (although the Kartuz Greenhouse website says it is a tetraploid hybrid--I'm not sure what's correct).