No, it's going ahead, but instead of going down Manhattan, they're limiting everything to just in front of the store. From their site:
"In order to avoid gathering large crowds of spectators along our traditional 2.5-mile route in New York City, we have shortened the route to focus solely on the last section of our annual march. On Thanksgiving Day, we will showcase our annual celebration’s signature balloons, floats, performances and herald the arrival of Santa Claus, in front of Macy’s famed flagship store on 34th Street for our national television special on NBC.
This change will allow millions of New Yorkers and the nation to safely experience Macy’s beloved spectacle from the comforts of home.
To ensure a safe experience for all involved, we are not marching down the streets of Manhattan this year and instead will bring all the magic of this American tradition to you on television and online. In preparation for this one-of-a-kind celebration, the Macy’s team meticulously reviewed every area of the Parade playbook to put in place enhanced health and safety practices that align with CDC guidelines, as well as local and state government protocols."
Our local Christmas parade is also going ahead, but I hear it's going to be a drive-through thing.