Here is what I am doing...
Change page borders to 0 (Top, Bottom, Left, Right)
Select Paper as A4
Change "Page color" to black
Select "Print background images" in Word options.

I am in the print layout view and I can see that the background color (black) covers the entire document.
However, when I go to print preview (and then actually print the document) I see there is a white border around the document.

Please help, I have been trying to figure this out since the last 3-4 hrs