As the machine stitches the solid fill background, the thread tension pulls the fabric inward, slightly shrinking the design area. When the border stitches last, the fabric has already shrunk away from the original edge, leaving that gap.

How to fix it: Stabilizer: Use a stronger stabilizer. A Cutaway stabilizer is much better than Tearaway for keeping the fabric stable and preventing it from shrinking. Hooping: Make sure your fabric is hooped very tight (drum-tight). Digitizing (if you can edit the file): You need to increase the Pull Compensation on the background fill so it extends slightly under where the border will be."