"Does Macy's tell Gimbel's" means "does one rival business share its secrets with another?" The saying probably was first made popular in the 1930s.
21 January 1941, Washington Post, pg. 22:
THE "Does Macy's tell Gimbel's?" gag has been a standard one in New York for many years. It was somewhat shattered last night at the Copacabana, when two young couples were seated at a ringside table and conversed at great length. . . ."Well, Macy's may not tell Gimbel's," said one of the young men, "But Bloomingdale's does."
5 June 1944, Chicago Daily Tribune, pg. 12:
"Would Macy's tell Gimbel's if they snagged a lemon?" snapped Jack.
11 January 1946, New York Times, pg. 24:
In other words the older circuit will give the Johnny-come-lately as little help and comfort as it can. After all, does Macy's tell Gimbel's?
5 June 1947, New York Times, pg. 32:
As a lesson in merchandising not only store products but good-will this "Miracle on 34th Street" is a dandy. Does Macy's tell Gimbel's? It should!
Gimbels was not located across 34th Street from Macy’s. (That was actually Saks 34th Street, which became an E.J. Korvette’s in 1965 and is now called the Herald Center.) Gimbel’s was located a block south on 33rd Street.