Is Apple changing OS X branding to macOS retroactively?

Yes, there is proof of this change in several places.

First and foremost, it should be made clear that this change is not being applied to old OS releases in the sense that if you boot into an OS prior to 10.12 Sierra, and go to Apple menu > About This Mac, you will not see it suddenly say "macOS" instead of "Mac OS X" or "OS X". The change is in relation to documentation and references in updated software, such as the startup disk selection screen in Sierra.

Here is a screenshot to illustrate:

There are places on Apple's own website where the change can be seen (although, again, it is not nearly everywhere).

This developer page about Xcode states:

Xcode 8 requires a Mac running macOS El Capitan version 10.11.4 or later.

In the description of a video from a session at WWDC 2016, there is this language:

Launched last year with iOS 9 and macOS El Capitan, the new Transit feature ...

Found on this marketing page, in a footnote describing system requirements is this text:

Some features require iOS 9 and macOS El Capitan.

There are a couple of Apple support articles, listed below, which refer to a number of OS versions in a row behind macOS.

If your web browser says that it's missing the Quicktime plug-in:

This plug-in is no longer enabled in macOS Sierra, El Capitan, Yosemite, and Mavericks.

Printer and scanner software for macOS Sierra, El Capitan, Yosemite, and Mavericks. (This one is right there in the title.)

Other companies/projects are recognizing this, too, such as PostgreSQL:

Apple has decided to rename Mac OS X to "macOS", and apparently is now retroactively referring to old releases that way too.