You should be able to specify those settings in SQLView.ascx. In there, I'm just defining a default grid with the line:
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You can most likely set the border to 0 in there, it's probably defaulting to 1 because I don't specify it.
Here is the datagrid definition page from MSDN to help with the various settings, http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlrfSystemWebUIWebControlsDataGridClassTopic.asp.