I see a lot of that in Vance's moral relativity about the societies he constructs, which are all bizarre and ethically challenged (but no more so than our own), while the nearest he ever comes to inserting himself in a story as a Mary Sue character would be Baron Bodissey
While I certainly value the opinion of this particular scribe, I would venture to say that Navarth the Mad Poet, who features as a major character in The Palace of Love flirts with "Mary Sue" status. My favorite "Navarth" piece comes from the introduction to Chapter 19 of The Book of Dreams, the last novel in the Demon Princes series:
Navarth despised latter-day poetry, save only those verses composed by himself. "These are faded times. Wisdom and innocence once were allied, and noble songs were sung. I recall a couplet, by no means sublime- quaint, rather- succinct, yet reverberating a thousand meanings:
Where is the like today?"
As an addendum, I have to mention the lamentable fact that the noble Baron Bodissey had his good name stolen by a neocon cobag blogging at Gates of Vienna. Luckily, Navarth has not be co-opted by right-wingers, to my knowledge.