Although it is granted that there are some Protestants that engage in a practice of "Church Shopping", it is somewhat tendentious to assert that "Church Shopping" is actually a "Tradition" within Protestantism (particularly from a Catholic interlocutor given their particular semantic usage of the term).
The fact is, that many Protestant churches actively discourage "Church shopping" (in its usual perjorative sense) because at its heart it violates the Scriptural principle inherent in Hebrews 13:17a -
Have confidence in your leaders and submit to their authority, because they keep watch over you as those who must give an account.
A consumer mentality does not submit itself to godly leadership, rather it places confidence in itself as the ultimate arbiter of what is beneficial. Consequently, most Protestant Churches see "Church Shopping" in a poor light - those who engage in it often do so against denominational guidelines distilled from scriptural principles (eg the practices of writing a commendation, or sending off with a blessing).
That said, there are certainly legitimate circumstances that will lead Protestants of good faith and clear conscience to judiciously choose a new congregation that can be justified on a biblical basis (whether this is still called "Church Shopping" or not, is often in the eye of the beholder):
1. Geographic Relocation
Most people will see this one as common sense: Protestants may have some denominational loyalty, but if they are relocating beyond reasonable commuting distance, they will be looking for a new congregation to attend and their criteria for choosing a church in a new location may have more to do with other factors. It is not unusual for relocators to visit a few different congregations in their new locality to weigh up these various factors and make a considered choice. This kind of choice is simply not explicitly addressed in Scripture, however examining the character of the different churches addressed in Revelation 2 & 3 gives one a sense that it is non-trivial - the nearest congregation (that isn't disqualified under criteria 2 & 3 below) may not be the best option.
2. Corrupt Leadership
If the conditional clause in the afore-quoted verse from Hebrews ("because they keep watch over you as those who must give an account"), does not actually hold true in a particular instance, then believers are not bound to follow those who style themselves as leaders in the church but are not themselves submitted to Christ. They are instead encouraged to only follow those who are themselves following the Lord:
Follow my example, as I follow the example of Christ. - the Apostle Paul , 1 Corinthians 11:1 NIV (emphasis added)
The Scriptures detail not just the possibility, but the inevitability of "false shepherds", "lying prophets", "false brethren" & "antichrists" and in the context of the new covenant, the "sheep" are by no means obliged to follow any of these, but are instead to be lead by the Lord himself to "go out and find pasture":
1 “Very truly I tell you Pharisees, anyone who does not enter the sheep pen by the gate, but climbs in by some other way, is a thief and a robber. 2 The one who enters by the gate is the shepherd of the sheep. 3 The gatekeeper opens the gate for him, and the sheep listen to his voice. He calls his own sheep by name and leads them out. 4 When he has brought out all his own, he goes on ahead of them, and his sheep follow him because they know his voice. 5 But they will never follow a stranger; in fact, they will run away from him because they do not recognize a stranger’s voice.” 6 Jesus used this figure of speech, but the Pharisees did not understand what he was telling them.
7 Therefore Jesus said again, “Very truly I tell you, I am the gate for the sheep. 8 All who have come before me are thieves and robbers, but the sheep have not listened to them. 9 I am the gate; whoever enters through me will be saved. They will come in and go out, and find pasture. 10 The thief comes only to steal and kill and destroy; I have come that they may have life, and have it to the full. - John 10:1-10 NIV (emphasis added)
From this, it should be patently obvious that if those who call the sheep to follow them (ie they purport to be leaders within the Church), have not themselves come through Christ and are not acting in accordance with his nature to bring life to the sheep, but instead act to steal, kill or destroy them according to the nature of "the thief"; then true sheep will not be following them at all.
If you think you're leading and no one is following you, then you're only taking a walk. - Afghan proverb
3. "Significant" Disagreement With Leadership
"Significant" is a pretty subjective term, but a common application of Amos 3:3 -
Do two walk together
unless they have agreed to do so?
within Protestant circles, is that it is quite legitimate to seek an alternative congregation to attend when it becomes apparant that disagreements over matters of deep conviction are unresolvable.