I did find the same issue with the insurance - however I did make sure that with the company that I booked that it was all included in the price - It seems that having a car - and we have found this to be true of all the trips we have taken, works out to be cheaper, more convenient and more fun then flipping for a cab everytime you wish to go anywhere. But you are right - you have to make sure the insurance is included b/c that can work out to be more expensive then renting the car
Just a note about the car rentals. While they get you with prices, they kill you in insurance. Friends of mine got a great deal of $99 for the week, then were hit with another $100 for insurance, so factor that in.
Also, Costco is in Cancun, which is over 1.5 hours from Tulum. There is a SAMs Club that is closer, but it is still about 30-45 minutes away.