I don't think it is /generally/ true - it's certainly in a bunch of style guides (e.g. The Guardian says Nato) but not in others (e.g. Plain English Campaign sa

I don't think it is /generally/ true - it's certainly in a bunch of style guides (e.g. The Guardian says Nato) but not in others (e.g. Plain English Campaign says NATO). I'd be amazed if there was an actual grammatical "rule" about this, mind.