Oh they certainly produce seed, but they rarely ever "self seed" in the garden.

I've heard that Epimediums have a very short time frame in which seed can be captured before the capsules pop open and release the seed. Timing is crucial.

Darrell Probts of Garden Visions Nursery, Dianna Rieck of Collector's Nursery, and a few others breed Epimediums and have introduced some very lovely varieties. They're worth contacting if you'd like to learn about techniques in seed collecting from your own plants.

http://home.earthlink.net/~darrellpro/
http://www.collectorsnursery.com/

Cheers,

Riz