Just got the same thing...
"You cannot proceed unless all XenForo database tables are removed."
For me, it was from Xenforo not registering fast enough after you click the button. So, you clicked it again, and then it prompts that. Apparently it stops and refreshes after you click it a second time, after it has already generated tables in PHPMyAdmin. So, a fix (idk how I'm the first one to post a fix on here as I'm not a techy person at all) go into phpmyadmin on your cpanel, find the database you made your forum in, scroll all the way down, click Check All, then the drop down menu and then click drop.
^ Drop
After that, it will delete all the tables in your database, and when you go to install xenforo again it will work.
(oof, 10 years later and this is still an issue. Daaang XF)