Coco Cay is one of the original "private islands". You can come and go all day since they will have tenders running every so often from ship to shore and vice versa. Coco Cay is fun with music, tours you can book with RCI for snorkeling and so forth, and of course the barbecue lunch. They also have a few bars set up. The Windjammer buffet will be closed since the staff is on the island doing the barbecue. The shops and casino are also closed (if I recall correctly) since you are officially visiting Bahamian territory even if RCI owns it. The government of the Bahamas even makes the ship pay tax on all booze they bring ashore for sale. The ship will not have much going on, other than a pool bar being open and the rock-climbing wall and a couple other things. This is actually a great time to have the pool area all to yourself. They have a souvenir shop set up on the island, and also there is a marketplace of locals who will be selling t-shirts and other junk, so when going ashore at Coco Cay you need to bring both your cruise card and some cash in small bills for the native market.
I'd much prefer a 4-night to a 3-night. That extra day makes a huge difference in making it feel more like a cruise and less like a frantic weekend.