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No. Citation in the Chicago Manual of Style please. Fuck the AP book bro, it's wrong.

So when writing companies like "Macy's," will you be saying "macy*s" as is their true trademarked company name?

You write what makes grammatically sense. That trumps any trademark, name, etc.

Edit: Here's your Chicago Manual of Style citation. 🙂

When a term like “iPod” or “eBay” appears at the beginning of a sentence, The Chicago Manual recommends "either capitalizing the first letter in that position or, better, recasting the sentence so the name does not appear at the beginning." (Section 8.163)
 
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I have never seen a published sentence that did not start with a capitalized first letter.
 
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