Dame also said he doesn't view the Blazers as a championship team currently, and that he expects greater urgency from Portland's FO. I think he's firing a shot across the bow, essentially. I'd expect him to follow it up with an official trade demand if he doesn't feel like that sense of urgency has been adequately communicated with roster improvements by the trade deadline next season.
If I were the Blazers, I'd seriously consider trading him anyway. They've mostly experienced first- and second-round exits across the last eight seasons, and I don't know what kind of meaningful roster changes they'll even be able to make to actually improve their chances of reaching the finals anytime soon. If McCollum and a 1st isn't enough to convince Daryl Morey to part with Ben Simmons, then they should seek out any other potential McCollum trades that might move the needle. And if nothing looks promising, then I think they have to consider the nuclear option.
Lillard's value is quite high right now and it's not going to get any higher. He just turned 31 yesterday. He's on the backside of his prime. And if he demands a trade when Portland inevitably fails to improve the roster enough to satisfy Dame's understandable restlessness, then the Blazers' leverage gets completely torn out from underneath them. They'd be stuck in the same position the Rockets were in when James Harden forced his way out of Houston.
That said, I really don't think the Blazers should be on the phone with Morey for a Lillard/Simmons trade, not unless they can coax a third team into the deal to take on Simmons (like, say, the Kings), who could then shift young prospects/valuable draft assets Portland's way. Simmons/McCollum/Nurkic isn't making any noise in the Western Conference. Lillard/Simmons/Nurkic would definitely be intriguing, but again, if Morey isn't taking McCollum for Simmons, then I think you ship out Lillard for whatever godfather offer you can get to jumpstart your rebuild while you've still got some leverage.