There is NOTHING wrong with price comparison and you should always know the what the current prices are of the cruise you are buying. If you are receiving good service from your current agent and the difference is only a few percent on a cruise there is no reason to switch However if the difference is significant then you should let your agent know this and give them the chance to match it.
If they can, great; if they can't then you have the choice of staying with them or taking your business to the competition. The only way you can make this choice is to price shop. It is always in your best interest to be an informed buyer.
There is more to a travel agent then what the price they can sell you a cruise for. It is the service they give you before during and after the cruise. It is also what they do for you when there is a problem. This is what separates the good agents from the bad agents.
There are plenty of very good agents out there who charge competitive rates and there are bad agents out there who basically charge brochure rates. It's up to you to find out.