removing data is a definitely desired feature and I am adding it to my todo list. But this won’t resolve your problem:
price tracking starts after you install plugin and set sale on product, in that order. So you would still have to update each product by setting it on sale.
That would be great indeed to have all products scanned in such situation and price tracking started automatically. I am adding this to todo as well
here are tickets I created for both features:
https://github.com/kkarpieszuk/wc-price-history/issues/64
https://github.com/kkarpieszuk/wc-price-history/issues/63