Goldfinch eating Lavender seed heads this freezing morning in a Sussex garden, UK.

Conventional advice is to prune lavender after flowering.

If you do NOT prune the seed heads, then they are a feast for seed eating birds like this goldfinch on this freezing, frosty January morning.

This is illustrated in a talk "The evolution of a formal garden to a nature reserve" at http://www.peterlovetttalks.co.uk/page19.html 
Click on the pictures to enlarge or play the video.