That is simply a feature of the theme. You could edit the gtkrc or change the theme.
Probably just best for you to change the theme if you are unsure. You can use gedit to edit the theme. It will usually be in /usr/share/themes/themename/gtk-2.0/.
Looking at the theme, the relevant line appears to be line 71:
GtkEntry::progress-border = { 2, 2, 2, 2 }
Try changing these values and see if the border goes away (I haven't installed the theme so I cannot verify as yet).
Another potentially relevant set of lines are the lines from 358 to 361:
style "progressbar"
{
xthickness = 1
ythickness = 1