tools>option > display > options > style

That was for removing a single line border inside the window - it had nothing to do with the outside chunky border. There has never been an option to remove the outside chunky border.

MDI windows have always had thick borders eg. see here for an example of what mIRC looked like before Aero theme support was added in v7.65.

If you are referring to the the Aero theme support, you can find answers about that here.

The thick borders cannot be removed - they are a permanent part of how MDI windows works.