Quickleaf
Legend
Okay, but I see it odd that a bunch of less savory types are going to subject themselves both to questioning and to magical compulsion to save face -- that's not how I imagine criminals working because the risks are so high -- what happens if you're asked about something not related to the theft but that exposes some other interest of yours? Heck, what about questions on point but that might risk revealing information to rivals you do not want them to know? Criminals don't save face by subjecting themselves to questioning, usually, but by refusing to answer questions.
Further, even if I, a criminal person, were some way willing to submit to this indignity, you could be sure that I would hold a serious grudge against the person forcing me into this position or involved in that force at all. This seems a good way to earn powerful and dangerous enemies in a job lot, even if they, strangely, agree to the questioning.
I mean, it would appear that this solves your problem nicely -- criminals are not going to willingly submit to questioning, especially under magical compulsion, which renders the Zone of Truth approach moot because of the usual suspects. I'm not sure why you'd decide that these criminals view submission to questioning, in public, in front of their rivals, as somehow saving face just to preserve the dilemma. I'm starting to suspect that what you really want is to challenge the players on the grounds of their choosing and find a way to let them question with ZoT but still thwart it.
Ah, I see your confusion. So the player's proposal is that it's not going to be in public, with rivals looming over their shoulder just waiting to pounce on their every wrong word.
Instead, it's going to be conducted by the priest PC (an one neutral onlooker who is a disgraced priest who can also cast zone of truth to ensure impartiality of the priest PC) in a separate part of the auction house. It's not just one uninterrupted warehouse floor. There are several adjoining rooms. The questioning would be conducted in one of those rooms, away from prying eyes and ears, to avoid exactly the risk you describe.
Additionally, the priest PC is restricted to questions directly pertaining to the investigation – not other criminal activity. That's the agreement with the auction house owner. If he violates that once, he'll get a warning. If he violates it again, the zone of truth proceedings will be called off.
So, you're absolutely right, there certainly is the risk of earning dangerous enemies if the player doesn't play his cards right.
Also, the PC priest =/= "the law." He's a noble, a priest of Osiris, and an advisor to the Pharaoh's court, but not an agent of the law. He's certainly the most upstanding citizen with some high connections in this den of scoundrels, but he doesn't get to make arrests or single out people for arrest.