As I wrote earlier: "It could be a border that is included in the style used on that paragraph. To test, select the paragraph and apply a different style." So to get rid of it, you would have to use a different style, or edit the current style to remove the border.
To edit a style, right-click on the highlighted style in the Style Gallery and choose Modify. In the Modify Style dialog, click on the Format dropdown in the lower left and choose Border. Then remove the border.