I did a search and came up with varying answers. Several sites said either that it was sterile and did not set seed (appears to be incorrect as you have seedlings) or was best propagated by cuttings or divisions. Another site mentioned propagation by seed. I hope someone else chimes in as this was one I was planning to try. If you leave some let us know.

I don't know about 'Mardi Gras', but I have what they call 'Red Shades' (how generic) and I've had a lot of reseeding. Some of the plants looked similar to the originals, but most were varied in color from solid red to solid yellow, and any mix of red, yellow and orange splashed in the petals. So, your seedlings could very well be the same way. But you won't know until they flower. Mine flowered their first year, so yours may too. I suppose, if you don't like a certain color you can always pull out that particular plant while in bloom. The plants are easy to pull out when young.

Karen

Most varieties of Helenium are what I call "hybrid-clones" and should be propagated asexually/vegetatively to remain "true-to-name". There are a few seed-strains, and they are generally variable.