If I have a felony for embezzlement, finished probation over 5 years ago, can I go to Cancun for a vacation?

Felony embezzlement conviction makes a non-citizen deportable and, once he/she leaves the U.S., inadmissible. By leaving the country and then asking to be let back in, you will invite USCIS to take a look at your record; and that's not a very bright idea. You should consider talking to an imm. Attorney sometime soon one day, you will have to apply for citizenship or renew your green card - and your conviction will make either prospect very problematic. If there is anything that can be done in your case, it is better be done well in advance of the date when your green card will expire, because all such undertakings take long time.

Unless you are a citizen of United States, you run the risk of getting into immigration difficulties if you travel outside the US due to this felony conviction. Any criminal conviction prior to leaving the US will render you inadmissible and will likely lead to initiation of your removal proceedings as an arriving criminal alien. Not only do I advise against any overseas travel, I also suggest that you consult an immigration lawyer to inquire about any possibility for relief from deportation because, while DHS may not have shown an interest in you at this time, it may change at any time and without warning. Dealing with this matter before ICE agents come and knock on your door seems to me a wise approach.