Macy's does have signs posted, but there are NO cameras allowed IN the fitting room. And I'm in Illinois, which isn't on that list.
Those "monitered by female security" mean that they WILL follow you into the rooms, go into the next fitting room over, eavesdrop, go into your fitting room when you leave and count the hangers and check for ripped tags, sensors, etc.
Many SA's will tell you otherwise (ie - why YES, there ARE cameras in the fitting rooms!), because no matter how good of a customer you are, if you are asking about security and cameras it raises a red flag. No customer needs to know where the cameras are, we are trained to notice things like that and call our LP teams when it happens.
Many places have gotten busted for placing cameras behind mirrors... it isn't legal, as far as I know.