The following is the correct formatting.
zen-cli z_importkey "privatekey"
Replace privatekey with the shielded private key you’re trying to import but keep the quotes.
You cannot delete old addresses from the wallet.dat. What you can do is stop zend, then rename the wallet.dat to something like walletb.dat to create a backup, then start zend back up. You will then have a fresh wallet.dat generated to which you can import your private keys.
For transparent addresses (T Addresses), you can use the following to import using their private keys:
zen-cli importprivkey "horizenprivkey"
Replace horizenprivkey with the key you need to import., be sure to include the quotes.