Try this code to set zero margins on the selected shapes
Code:
Sub SetTextPadding()
Dim aShp As Shape
For Each aShp In Selection.ShapeRange
With aShp.TextFrame
Debug.Print .TextRange.Text
.MarginTop = 0
.MarginBottom = 0
.MarginLeft = 0
.MarginRight = 0
End With
Next aShp
End Sub