It doesn't mean running riot, lying, cheating, stealing, & philandering (etc.) without compunction. It does mean relaxing, enjoying the moment, stringing enjoyable moments together when you can, "chilling." Taking a moral holiday means momentarily lightening up and taking it easy, not carrying the weight of the world on your shoulders, not being hopelessly depressed by depressing realities.
"The universe is a system of which the individual members may relax their anxieties occasionally, in which the don’t-care mood is also right for men, and moral holidays in order... I fully believe in the legitimacy of taking moral holidays." William James
A walk in the park when you COULD be working and feeling bad is a moral holiday.
A covert, illicit affair with your neighbor's wife is not.