I understand there are many reasons for CDs to feel awkward, but in this case I do think you are being overly sensitive. You have no reason to believe that the security person was referring to you, especially since Macy's has such a progressive policy regarding transgenders.
The security person might have been concerned about the possibility of theft, for example a young girl choosing to try on clothes in the men's room because it is not well attended, and walking out of the store with some of the items of clothing under her own clothes. Maybe the "camera on C" refers to the entrance to the store. There might be other scenarios that he was thinking about as well.
You should have tried on the clothes in the women's changing room since Macy's supports people who use the changing rooms that match their gender presentation.