Yes, I downloaded the data, unfortunately they used a point representation of the 4 corners of each grid cell, so you could try just converting the points to raster with a cell size of about 1 using the average option with the Value field, which seems to be a duplicate of the All ships data. You will have to mess around with cell size, colour ramp etc, but if you are working in a smaller area, you might have some luck. Point density is definitely not the route to go, since the points represent the corners of the grid cells, so as such, are inappropriate for such analysis.