You are doing nothing wrong. Word formats documents to the active printer driver and although I am a Windows user, I suspect the Mac version is the same.
The vast majority of printers do not allow printing to the edge of the page and the result is therefore a border that reflects the limits of the driver's capabilities. It is for this reason that you have read suggestions to set a PDF driver as the active driver.
I don't have access to the Mac version, so cannot comment on specifics relating to that version, but you may be able to find suitable software at
http://alternativeto.net/software/pr.../?platform=mac