I only found three cigar shops, two were in the shopping center and one was up the hill from the shopping area up to the top of the hill, LA Casa del Habano. This larger shop you could smoke in, has a large humidor and scenery. They follow you in the humidor like you are a thief, have tons of Cubans and price is no object. CA has a story on this one and its really the only shop but I hated it. I purchased from a smaller shop in the shopping center, he was cheaper, I asked some locals where to go. Bring dry beads or a way to dry them out as they are way to wet to smoke. Like 80 plus humidity there. I had a Bolivar plug during first third, broke my heart. I was not impressed with the cigars in Cancun. Duty free at the airport was more expensive than buying online so passed there as well.
Hope you are staying downtown, best beach area, anything south of the downtown point gets lots of weeds washed up from coral reefs. We stayed at the Moon Palace, didn't know any better, only been there once.