Now guess what....it works after updating the Master_Category ID to be nonzero
"0"

For the people with the same issue:
I used Easy Populate to load my shop data. This caused many of my products master categories to be zero (0)
In this case, all Master_Categories have to updated to contain a non zero value.
Scott's documentation does explain in detail how to do this.

Thanks a lot Scott.
Really helpful contribution as it was missing so far.

I just realized that ZC is related to MySQL ... I better start learn some more stuff