OK, I found what the problem was. I made the Square connection for the test shop directly in sandbox mode.
To make sandbox mode work in my test environment, I changed from sandbox mode to production mode, put the new Application ID and Application Secret into Zen Cart. Activated Square. Green button near the module. Then I changed to sandbox mode again on the Square page, copied Application ID and Application Secret for the sandbox mode to Zen Cart and now I have a green button near the module and it says "sandbox mode".
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