I have the same problem, been searchign for a solution, did the same stuff including making sure 'lock web items on desktop' was unchecked which it already was, and i still have the borders, any other suggestions?
nevermind i figured out something that fixed it, my desktop background image was a PNG file that was larger than my desktop so it had to be stretched to fit, i resized the image to fit the desktop and saved it as a BMP, im not sure if it was the resizing or the change of file format that did it but one of those things fixed it
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