This forum uses the default style, so if the border is there you have probably applied it your self. I just double checked on my site, where the default style is completely untouched, and there is no border there.
As to where it is applied, it is difficult for me to say. As I have seen from your other posts, you mainly do editing via style properties, so I would suggest you take a look at message layout -> Message container or Content container. CSS to check is .messageInfo, .messageContent or .messageText.