What you see is normal.
Look at this picture: the first highlighted part is where OBIEE set the border you define with the options in the "Border" section.
The second highlighted element is where a custom CSS will be applied.
Between the 2 there is still a bit of things, that's why it's normal to see a difference in the bordering. Custom CSS apply directly to the element (the <td> ) containing the header text. The "Border" options apply to an higher element. The things in between these 2 justify the distance you see between your 2 borders.
As you seem to be displaying a single cell (from one cell and one row), you maybe want to have a look at the narrative view? It would give you easier control on the output including any styling you want to have.