What you're seeing is not a border but the blanked area that corresponds to the borders in the adjoining cells. You would get a similar result if the border was, say, black - a white blanked-out area would still appear below column 2. It's only visible because of the background shading you have for the document. If it bothers you, give column 2 a bottom border than has the same colour as the background shading you have for the document.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]