Compiz shadow problem (en)
From Conky PitStop
Compiz shadow problem
People keep asking how to get rid of the “shadow” around Conky on various forums. Well. I saw the solution somewhere, lost touch with it, and saw it again, when dmillerct posted it:
It appears as if you are running Compiz (the shadow). If you like you can run ccsm (CompizConfig Settings Manager) and under window decoration in the Shadow Windows section add the following:
any & !(name=Conky)
This should remove that border around the edge of your conky. Only if you want.