I have another Idea.
My PSP is in german. I don't know how everything is named in english.
When you use drop shadow, do you mean: Effects -> 3D Effects -> Drop Shadow or named similar?
If you do use that Effect: did you activate that little checkbox at the bottom of the Window? It can be namend something like "Shadow on new layer".
when I deactivate it I get the same white Border like you do. But when it is checked the shadow does fill out the whole space behind your figure on a new layer and gets rid of that little white border.
Sorry, can't explain better :unsure: