The border inherits the color of the scrollbar group in Athena GVim. Set its background with the same color as the Normal group background. For example, to make it black,
:hi Scrollbar guibg=black
Once the correct color has been found, you can edit the colorscheme accordingly or add
if has('gui_running') highlight Scrollbar guibg=black endif
~/.vimrc after any colorscheme loading statement, if there is one.