There’s a difference between Second Chances and Having Mercy….
Having Mercy deals with granting someone their life, but never liking them or acknowledging them ever again simply out of your distaste of their being.
A Second Chance is granted when one, usually a person you have a connection with, is given a chance to redeem themselves and become better people.
No one had a connection to Felix, therefore they only showed mercy. And Regina never wanted to kill Felix once they were back in Storybrooke, just lock him away for the rest of his days….Thus showing mercy!
Zelena was Regina’s only sister, and only living family left! Regina could relate to Zelena, and actually felt sympathy for her sister despite all of her past actions, because her life was ruined too by both Cora and Rumple(who played a SOMEWHAT hand in her wickedness). Thus a second chance is given to her, so that Regina could try to help her sister become a better person, and for them to have a sisterly relationship.
Rumple didn’t have to give Zelena a second chance, but he should have showed her MERCY as Neal would have wanted him to!
"If you go as far as you can see...you will then see enough to go even further." - Finn Balor