No, they don't. Hollywood BS.
The U.S. Embassy in Baghdad is a military complex spread out over 100 acres with several structures and has at times, up to 16,000 people working there. It's the largest, most expensive embassy in the world. The logistics of wiring it up with explosives to self-destruct at the push of a switch is farcical.
I would bet though, it does feature a various assortment of paper-shredders, incinerators, and computer disk grinders.
It won’t make sense to pull out and leave a token force of US Marine guards at the embassy. They’d be sitting ducks. That problem must be addressed. I know we have Marines off shore but.....
A large enough crater would do the job...