Do you have a stat for wide open threes, out of curiosity?
Lillard is one of the very few players, ever, who has shown a consistent ability to shoot from 30' and shoot contested threes off the dribble. In other words, he has a historically unusual shooting ability, much like Curry does. McCollum is more like Klay Thompson, in this regard, to Lillard's Curry--he's a traditionally great shooter, while Lillard has a shooting skillset shared by very few.
I think that if Lillard limited himself to the threes that McCollum takes, he'd shoot at least as high a percentage, whereas I don't think McCollum can hit all the shots Lillard can.