lets say Jerry, recently unemployed, embezzled money from the local community league while he was president, taking the bingo money profits and buying himself a new roof for his house with the money. The money was going to be used to help children in need but oh well, its missing now! of course he tells no one of this.

Then lets say you notice while doing the books, that the community league is short 5 thousand dollars and suddenly Jerry is talking to others about how has a new roof. This makes no sense, as jerry has no job and thus probably not bother with such an expense.

you have absolutely no other information than that, and Jerry denies everything. The charges are so extreme that no one else believes it because Jerry is a nice guy, the president no less, people have known him for years etc, and no one would believe he would do such a thing.

Congratulations! your suspicion of jerry no different than being a conspiracy theorist. Only problem is is that not only are you likely to get any more information than what you have, but there are still a possible third explanation - jerry actually did have the money, and the timing was coincidence or something of that nature. Without any more information you are deadlocked...there is still 5 thousand missing from the bank that needs to be explained, and all you have is a gut feeling and a few facts.

TL;DR: Most conspiracy theories require a second step to be made...recognition that that the perpetrators themselves would actually do it. Thats the hard part.