If the GP is assuming that initial password setting is done via the verification link sent in the verification email, then the workflow they're proposing won't cause the confusion you describe. In other words, the "verify my email address" link is to a form that says "Create and verify password to confirm your email address."
If you're assuming that initial password entry is done before email verification, then there's a possibility for confusion there.
Honestly, the lowest friction workflows collect information lazily. Don't require setting a password (if at all... expiring login links in emails are a nice alternative) until the email is verified. Don't require a mailing address or credit card number at all, but have a "save for later" checkbox/button as part of the checkout workflow, etc.