Chiming in late, but this fall I collected many annual seeds after we had the first hard frost (around October 12th). Although most of the Zinnias were collected before the frost, I've collected Tithonia, Melampodium, and Ipomoea seeds after the frost.

The plants are finished, but I think you could still harvest Zinnia seeds as long as the seed heads haven't fall apart and the seed has scattered, or they haven't been all eaten up by the Goldfinches!