I deleted the Categories from Admin, which also deletes the products, then I ran this SQL in phpMyAdmin
DELETE FROM zen_address_book;
DELETE FROM zen_customers;
DELETE FROM zen_customers_basket;
DELETE FROM zen_customers_basket_attributes;
DELETE FROM zen_customers_info;
DELETE FROM zen_customers_wishlist;
DELETE FROM zen_orders;
DELETE FROM zen_orders_products;
DELETE FROM zen_orders_products_attributes;
DELETE FROM zen_orders_products_download;
DELETE FROM zen_orders_status;
DELETE FROM zen_orders_status_history;
It seems to work with no problems.