Lillard is probably the second-best scheme-buster in the NBA behind Steph Curry or, at worst, third-best behind Durant too. His ability to shoot out to 35-38 feet, off the dribble, makes him one of an elite class of weapon in the game. Unless his efficiency drops completely off a cliff over a large sample size, he'll always be more valuable than McCollum in my opinion. He simply breaks apart defenses in ways only one or two other guys can.
And, as it stands, his efficiency hasn't fallen off a cliff--he's scoring at a career-high (and legitimately great) .610 TS%, better than McCollum's very good .586 (also currently a career high). Neither player's defense separates him from the other, but Lillard's Assist Rate is quite a bit higher.