If our daughter had been old enough to dive when she died of cancer, we certainly would have scattered her ashes in Cozumel. I agree with the concerns of others that an urn could end up being removed even if you were to try to hide or bury it.
I suspect if you ask about leaving any sort of permanent memorial, the answer is likely to be "no". Consequences of getting "caught", though? Who knows what the regulations say, but I can't imagine that in the real Cozumel anything would happen other than being told "you can't leave that there". Mexicans understand as much as any culture the importance of honoring the dead, and I suspect nearly all of the Marine Park personnel are parents. We are always in Cozumel on our daughter's birthday and on the anniversary of her death. Anyone who learns of this always says they'll pray for her (including some people I know are non-religious) and nearly always touch us (on the arm, etc.). Everybody understands about grief.
If you were to use ggunn's excellent "brick" idea, I think there's no chance that it would end up being a problem. As far as I know, scattering of ashes, if done discreetly, is also unlikely to be a problem. Personally, the idea of my remains dispersing and becoming part of the environment (at whatever depth or light level) is very attractive but I understand it wouldn't be to everyone.