Since other stores do allow this, and even promote it, and since they are Macy's competitors whether Macy's would admit it or not, it may not be the brightest move.
If I knew I could use a coupon and perhaps get a $30 reduced sweater for $24, I would shop first at the coupon-allowing store and only if I didn't find anything I wanted, maybe try the store that doesn't allow the coupon. And then, if I did find something there, I would still be thinking about what I "could/should" be paying for it.
If Macy's is trying to differentiate themselves as a cut above store and not so badly off financially that they "need" to give all possible discounts, I get that. But it could be a mistake. Only time will tell. JC Penney has never recovered from their various flip-flops. They're the poster child for be careful what you mess with.
Life without Mexican food is no life at all