Excuse me! I adjust my previous comments. Windows 10 does paint a border but white when the window has the focus. I see that the same happens to Windows Explorer and it seems that it's a normal behaviour that cannot be changed in Windows 10 as mentioned here: https://stackoverflow.com/questions/34414751/dwmextendframeintoclientarea-strange-behaviour-on-windows-10
Is this approach right? I'd appreciate any comment about it. Thank you.