I'm wondering about this as well. I know it's technically possible--my previous host had Zend Optimizer, and it was automatically available even if I compiled my own PHP.
I've tried re-compiling my PHP to see if that would make Zend Optimizer show up, but it's still not there. It's definitely on the default PHP-CGI, but not on my own.
As for your other question, it's safe to remove everything in the directory you used to compile PHP.