There's no doubt that Henry VI's troops did loot and pillage, and probably rape as well, after the Yorkist leaders fled from Ludford Bridge in 1459. Gregory's Chronicle reports:
The mysrewle of the kyngys galentys at Ludlowe, whenn they hadde drokyn i-nowe of wyne that was in tavernys and in othyr placys, they fulle ungoodely smote owte the heddys of the pypys and hoggys hedys of wyne, that men wente wete-schode in wyne, and thenn they robbyd the towne, and bare a-waye beddynge, clothe, and othyr stuffe, and defoulyd many wymmen.
[It's interesting that the poor women are mentioned here almost as an afterthought to the bedding and clothes. But I digress.]
Hearne's Fragment tells us:
And in the year of our Lord 1459, and then being the 38th year of King Harry the 6th, the Duke of York fled from Ludlow into Ireland. And this Edward, with the Earls of Salisbury and Warwick, departed into Devonshire, and from thence into Guernsey, and so to Calais, &c. After the which departing King Harry rode into Ludlow, and spoiled the Town and Castle, where-at he found the Duchess of York with her two young sons (then) children, the one of thirteen years old, and the other of ten years old: the which Duchess King Harry sent to her sister Anne Duchess of Buckingham.
Benet's Chronicle, as translated in Elizabeth Hallam's The Wars of the Roses, simply reports that after the Duke of York and his companions fled, "The king ransacked all of their property between Worcester and Ludlow."
The English Chronicle mentions Ludlow only after discussing the Parliament that followed the battle:
Thanne was a parlement holden at Couentre, and they that were chosenne knyghtes of the shyres, and other that had interessc in the parlement, were nat dyfferent but chosen a denominacione of thaym that were enemyes to the forseyde lordes so beyng oute of the reame. In the whiche parlement, the sayde duk of York and the iij. erles and other, whos names shalle be rehersed afterward, withoute any answere, as traytours and rebelles to the kyng were atteynt of treson, and theyre goodes, lordshyppys and possessyons escheted in to the kynges hande, and they and theyre heyres dysheryted vn to the ixthe degre. And by the kynges commissione in euery cyte, burghe, and toune cryed opynly and proclamed as for rebelles and traytoures; and theyre tenauntes and there men spoyled of theyre goodes, maymed, bete, and slayne withoute cny pyte; the toune of Ludlow, longyng thanne to the duk of York, was robbed to the bare walles, and the noble duches of York vnmanly and cruelly was entreted and spoyled.
Abbot Whethamstede, with uncharacteristic brevity, simply reports that the town and the surrounding area was sacked. (If anyone's up for some Latin translation, I'll be happy to send you the relevant paragraph.)
It's plain from all of these accounts, as I said, that Ludlow did suffer at the hands of the Lancastrians after the rout at Ludford Bridge. (It wasn't the first town to suffer in this manner during the Wars of the Roses, however. According to Whehamstede and other sources, St. Albans was looted by the victorious Duke of York's men after the first battle there in 1455, but the same novelists and historians who wax horrific about the sack of Ludlow breezily pass by the Yorkist misdeeds at St. Albans.) What's also plain, however, is that not a single source states that Margaret of Anjou was present at Ludlow, much less has her cackling with glee at the Duchess of York and her terrified youngsters. As none of these sources were friendly to Margaret, it's hard to believe that they would have failed to mention her malevolent presence at Ludlow. Most likely she had stayed behind at a safe place with her son while her husband and his army made their way to Ludford Bridge.
As for Cecily, Duchess of York, it does seem from Hearne's Fragment, quoted above, that she and her two younger sons (whose ages the chronicler gets wrong) were at Ludlow. The English Chronicle also speaks of her being "entreated and spoiled," though whether this refers to the duchess's person or her property is unclear. It seems more likely that it refers to her property, as a physical attack on the duchess and her young children would have surely provoked the fury of the pro-Yorkist chroniclers.
But was she taking a stance at the market cross? This is where Paul Murray Kendall departs into one of his historical flights of fancy. In the text of Richard the Third, he writes, "When the troops of the King stormed triumphantly into the undefended town the next morning, they found Cicely, Duchess of York, and her sons Richard and George courageously awaiting them on the steps of the market cross." Only when one reads to the end of the paragraph in which this sentence appears does one find an end note, in which Kendall cites the passage from Hearne's Fragment quoted above and explains, "It is reported that Cecily and her two boys were found in the village. Since she was a woman of spirit and was apparently trying to protect her villagers, I have conjectured that she took her stance at the market cross" [italics mine]. Kendall may not have intended to mislead his readers, but it is nonetheless the fact that many, not bothering to flip to the end note, have come away with the conviction that it is established historical fact that Cecily outfaced the Lancastrians at the market cross. In fact, pace Kendall, one can't be sure from the wording of the fragment ("spoiled the Town and Castle, where-at he found the Duchess of York") that she was even in the village; it appears more likely that Cecily was within the castle walls.
So to sum up, while there was certainly looting and pillage at Ludlow, there's no evidence that Margaret was there, and none except for a twentieth-century historian's admitted conjecture that Cecily was defiantly standing at the market cross. As Stacey Schiff so aptly says in her new biography of Cleopatra, however, "For well over two thousand years, a myth has been able to outrun and outlive a fact." Thanks to the power of fiction and fictionalized history, there may be a lot of life left in the story of Cecily and Margaret facing off at the market cross.