Yes, you may set up your sun shade, canopies and umbrellas however they must be behind the lifeguard towers so their view to the water is not obstructed.  Nothing between the line of lifeguard towers and the water.
Beach Tents/Canopies
Tents – defined as any structure with sides, are no longer permitted on Ocean City beaches. Canopies, which are open-sided shade structures, remain allowed but must adhere to the specific guidelines:

Must be open on all four sides
Size limit: no larger than 10ft x 10ft
Keep at least 3 feet of space between your canopy and your neighbor’s
Anchoring must stay within the footprint of the canopy
No canopies left unattended before 10:00 a.m.
Canopies must be placed behind the lifeguard stand
Baby tents are permitted but no larger than 3ft x 3ft x 3ft