a component in the grid always by default "give up" its own border - because the border is typically managed by the grid around. Otherwise the result would be that the grid draws lines between columns and rows - and there is some additional border e.g. for fields inside the grid cell.
...but: you may define GRIDCOL-KEEPCELLBORDER as "true". In this case the cell component insists to have its own border - regardless how the result will look like...
(An other possibility: arrange a PANE/ROW around: the "no-border" is only applied to the component that represents the cell component. But this possibility means: 3 times more components per cell...)