A quicker way is Open Shapesheet, scroll down to the Shape Data section, right-click on one of the rows and select Delete Section.
How you get to Open Shapesheet depends on which version of VVi you are using, and you will need to be in developer mode.
Open Shapesheet used to be on the Wndow menu, but Visio 2010 onwards it is on the Developer tab.
Get into developer mode from thje Options menu.
Another way to delete all the shape data (and can do more than one shape at a time), is to install my SupeUtils for Visio:
http://www.sandrila.co.uk/visio-utilities/and use menu Super Utils -> Shape -> Delete -> Custom Properties