There is no one place in Coz to shop. One can walk along any number of streets, both main and smaller side streets, and find shops with great stuff. The ship will steer you to the "approved" shopping district but that is by no means the only place to shop.
Just be aware that you do not have the same protections and warranties you enjoy back home when it comes to purchases made in Mexico.
A ggod map of Coz, downtown in particular, can be had at http://www.cancunmap.com/cozumel_map.html
Progreso (actually Merida) also has some great shops that the tourists often miss. Look up! We found a store with nice things upstairs!
Phil & Liz