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You can register where ever you want. Just make sure there is a variety in your price range for stuff you register for because different people have different budgets.I'd also say to try and register somewhere that most people will be able to actually go to the physical location and buy a gift. Not everyone likes to order online, I know I prefer to shop in person. But that really shouldn't be an issue. Macy is everywhere.
We registered only at Macy's, and had a great experience. Macy's has also been awesome about post-wedding returns (my shower was back in May, but because of plans to move, I didn't open boxes and discover broken things until about a week ago, and Macy's exchanged every broken thing - about 6 items total - with no questions asked).