I am happy to report that the e-mail I sent to Macy's was a success. Perseverance paid off, and they will be giving us a full refund. The morning after I sent my e-mail, I received a reply (and 2! phone calls) saying they were sorry for all of the hassle we've had to deal with, and that they would be immediately returning our entire set. Not gonna lie, I was still half-asleep, but there was some major fist-pumping action.
In roughly 5 weeks, they'll be picking up the old, and dropping off our new sectional. I'm so glad that in the end, great customer service prevailed. Thank you, Macy's!