I had an requirement where I was using ItemRenderer for Flex DataGrid cells and there was some 2 pixel border around these ItemRenderers. I tried whatever I could and even we had to ship the project with those ugly border for QA. finally I figured out those borders are not borders at all. they are the default padding given around DataGrid cells. You have set them to "0" using CSS. for removing all lines in and around DataGrid my CSS look like this.
.myDataGrid{
use-rollover:false;
borderStyle: none;
alternatingItemColors: #FFFFF7, #FFFFF7;
verticalGridLines: false;
horizontalGridLines: false;
paddingLeft: 0;
paddingRight: 0;
paddingTop: 0;
paddingBottom: 0;
}