In the Colonia Mexico, there is a relatively new dessert place called El Postrecito (the little dessert) run by a talented Yuca who lived in Quebec. Their coffee is great, their desserts are really delicious.
Short verdict: Go.
Have their melt in your mouth truffles or their signature Canadian dessert; a bread pudding baked with maple syrup or something to that effect.
A great option after eating fishy things at nearby Campay Sushi.